Exit times for ARMA processes
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Cites work
- Analysis of a stochastic difference equation: exit times and invariant distributions
- Exit times for multivariate autoregressive processes
- Exit times for past-dependent systems
- Large deviations for past-dependent recursions.
- Level-crossing probabilities and first-passage times for linear processes
- Martingales and first passage times of AR(1) sequences
- On the first passage time for autoregressive processes
- On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem
- Survival probabilities of autoregressive processes
- Time series analysis and its applications. With R examples
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