Exit times for ARMA processes

DOI10.1017/APR.2018.79MaRDI QIDQ5215062zbMATH OpenOpenAlexFDO

Authors Timo Koski, Brita Jung, Göran Högnäs

Publication date 5 February 2020

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/apr.2018.79

zbMATH Keywords

ARMA modelautoregressiveexit timefirst passage timestationary distribution

Mathematics Subject Classification ID

Large deviations (60F10) Stopping times; optimal stopping problems; gambling theory (60G40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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

Cited in

(2)

• Reaction times of monitoring schemes for ARMA time series
• Exit times for some nonlinear autoregressive processes

Describes a project that uses

Uses Software

• astsa

This page was built for publication: Exit times for ARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5215062)