On the first passage time for autoregressive processes

MaRDI QIDQ3515332zbMATH OpenFDO

Authors E. Di Nardo

Publication date 29 July 2008

zbMATH Keywords

autoregressive time seriesGaussian quadrature formulaMarkov chainsorthant probabilitytaboo probabilities

Mathematics Subject Classification ID

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

Recommendations

• On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
• Integral limit theorem for the first passage time for the level of random walk, described with AR (1) sequences
• Martingales and first passage times of AR(1) sequences
• scientific article; zbMATH DE number 7638799
• scientific article; zbMATH DE number 862390

Cited in

(10)

• Probabilistic solutions of integral equations from optimal control
• Bounding the risk probability
• A computational algorithm for the coverage probability of a first order autogressive process
• scientific article; zbMATH DE number 3958685 (Why is no real title available?)
• Autoregressive processes and first-hit probabilities for randomized random walks
• scientific article; zbMATH DE number 862390 (Why is no real title available?)
• Survival probabilities of autoregressive processes
• Exit times for ARMA processes
• On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
• On the connection between orthant probabilities and the first passage time problem

This page was built for publication: On the first passage time for autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3515332)