A computational algorithm for the coverage probability of a first order autogressive process

DOI10.1080/00949658508810797zbMath0578.62079OpenAlexW1991085593MaRDI QIDQ3700640

Mark C. K. Yang, Pan-Yu Lai

Publication date: 1985

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658508810797

zbMATH Keywords

algorithmMarkov processcoverage probabilityextreme value distributionmultivariate integrationprediction intervalsfirst passage time distributionAR(1) time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Conditions for the convergence in distribution of maxima of stationary normal processes
• An Error-Bounded Algorithm for Normal Probabilities of Rectangular Regions
• Sample extremes: an elementary introduction
• Probability Integrals of Multivariate Normal and Multivariate $t^1$
• Asymptotic Independence of the Numbers of High and Low Level Crossings of Stationary Gaussian Processes
• Level-crossing problems for random processes
• The Distribution of Extreme Values in Samples whose Members are Subject to a Markoff Chain Condition
• Extreme Values in Samples from $m$-Dependent Stationary Stochastic Processes

This page was built for publication: A computational algorithm for the coverage probability of a first order autogressive process