The maximum term and first passage times for autoregressions

DOI10.1214/AOP/1176993781zbMATH Open0493.60049OpenAlexW2021174916MaRDI QIDQ1168643FDOQ1168643

Authors: Mark Finster 

Publication date: 1982

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993781

zbMATH Keywords

asymptotic distributionfirst passage timeautoregression, maximum term

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (3)

• On the distribution of the nearly unstable AR(1) process with heavy tails
• Limiting distribution of sums of nonnegative stationary random variables
• Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution

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