MA(1) processes with uniform innovations conditioned to stay positive in the non-expanding regime
Abstract
We study an MA(1)-process with uniform innovations conditioned to stay positive. Representing the model as a Markov chain, we prove the existence of the limiting finite-dimensional distributions under this conditioning and identify the limiting process explicitly as a Doob h-transform. In the non-expanding case, i.e. when the coupling parameter θ satisfies θ∈[-1,1), we compute the relevant generating functions, extract sharp persistence asymptotics, and give explicit formulas for the eigenfunction h and the persistence exponent. The resulting transition kernel of the limiting process is therefore fully explicit and displays a phase-dependent structure in the parameters. This provides a rare solvable example of a Markov chain on a continuous state space conditioned on persistence.
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.