scholarly journals On asymptotics of distribution of the sojourn time on a half-axis of a random walk with heavy tails

2018 ◽  
Vol 15 ◽  
pp. 1813-1817
Author(s):  
A. S. Tarasenko
2002 ◽  
Vol 56 (4) ◽  
pp. 399-404 ◽  
Author(s):  
Søren Asmussen ◽  
Vladimir Kalashnikov ◽  
Dimitrios Konstantinides ◽  
Claudia Klüppelberg ◽  
Gurami Tsitsiashvili

2020 ◽  
Vol 30 (3) ◽  
pp. 147-157
Author(s):  
Valeriy I. Afanasyev

AbstractInteger random walk {Sn, n ≥ 0} with zero drift and finite variance σ2 stopped at the moment T of the first visit to the half axis (-∞, 0] is considered. For the random process which associates the variable u ≥ 0 with the number of visits the state ⌊uσ$\begin{array}{} \displaystyle \sqrt{n} \end{array}$⌋ by this walk conditioned on T > n, the functional limit theorem on the convergence to the local time of stopped Brownian meander is proved.


Forecasting ◽  
2020 ◽  
Vol 2 (3) ◽  
pp. 364-386
Author(s):  
Olga Rumyantseva ◽  
Andrey Sarantsev ◽  
Nikolay Strigul

Forecasting of forest dynamics at a large scale is essential for land use management, global climate change and biogeochemistry modeling. We develop time series models of the forest dynamics in the conterminous United States based on forest inventory data collected by the US Forest Service over several decades. We fulfilled autoregressive analysis of the basal forest area at the level of US ecological regions. In each USA ecological region, we modeled basal area dynamics on individual forest inventory pots and performed analysis of its yearly averages. The last task involved Bayesian techniques to treat irregular data. In the absolute majority of ecological regions, basal area yearly averages behave as geometric random walk with normal increments. In California Coastal Province, geometric random walk with normal increments adequately describes dynamics of both basal area yearly averages and basal area on individual forest plots. Regarding all the rest of the USA’s ecological regions, basal areas on individual forest patches behave as random walks with heavy tails. The Bayesian approach allowed us to evaluate forest growth rate within each USA ecological region. We have also implemented time series ARIMA models for annual averages basal area in every USA ecological region. The developed models account for stochastic effects of environmental disturbances and allow one to forecast forest dynamics.


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