Phase-Type Distributions and Optimal Stopping for Autoregressive Processes

DOI10.1239/jap/1331216832zbMath1254.60051arXiv1008.0756OpenAlexW3101949728MaRDI QIDQ5388738

Sören Christensen

Publication date: 20 April 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.0756

zbMATH Keywords

optimal stoppingautoregressive processesthreshold timephase-type innovation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic processes (60G99) Optimal stopping in statistics (62L15)

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