Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials

TL;DR

This paper derives exact formulas for persistence probabilities of AR(1) processes with symmetric uniform innovations using Mallows-Riordan polynomials, connecting polynomial families, polytope volumes, and extending classical formulas.

Contribution

It introduces new exact formulas for AR(1) persistence probabilities involving Mallows-Riordan polynomials and extends classical results like Sparre Andersen's formula.

Findings

Exact formulas for AR(1) persistence probabilities

Connections between polynomials and polytope volumes

Asymptotic estimates for persistence probabilities

Abstract

We establish exact formulae for the persistence probabilities of an AR(1) sequence with symmetric uniform innovations in terms of certain families of polynomials, most notably a family introduced by Mallows and Riordan as enumerators of finite labeled trees when ordered by inversions. The connection of these polynomials with the volumes of certain polytopes is also discussed. Two further results provide factorizations of general AR(1) models, one for negative drifts with continuous innovations, and one for positive drifts with continuous and symmetric innovations. The second factorization extends a classical universal formula of Sparre Andersen for symmetric random walks. Our results also lead to explicit asymptotic estimates for the persistence probabilities.