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arXiv · 2608.14155

Max-semistable extremal behavior of AR(1)-processes connected with Bernoulli convolutions

Peter Kern·Alef Sterk
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Abstract

We consider simple autoregressive processes of type AR(1), whose stationary distribution is supported on a subset of the unit interval and is an affine transformation of a Bernoulli convolution. A new structural representation of the stationary distribution as a product of a power function with a log-periodic function near the origin is given, which gives structural insight to the stationary distribution on the whole unit interval by using a characteristic functional equation. This enables to prove that the stationary distribution of the AR(1)-process belongs to the domain of geometric partial attraction of a max-semistable law. We further prove uniform convergence of the distribution function of normalized maxima of the AR(1)-process to a certain power of the max-semistable law in the spirit of a merge theorem and point out connections to deterministic and random dynamical systems.

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Peter Kern, Alef Sterk. 2026-08-14. Max-semistable extremal behavior of AR(1)-processes connected with Bernoulli convolutions. https://arxiv.org/abs/2608.14155

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