Persistence of autoregressive sequences with logarithmic tails

Denis Denisov, Gunter Hinrich, Martin Kolb +1

We consider autoregressive sequences $X_n=a{X}_{n-1}+{\xi }_n$ and $M_n=\max \{a{M}_{n-1},{\xi }_n\}$ with a constant $a\in (0,1)$ and with positive, independent and identically distributed innova…