On the first entry time of a Z_+-valued AR(1) process

DOI10.1023/A:1003870427536MaRDI QIDQ1807968zbMATHOpenAlexFDO

Authors Emad-Eldin A. A. Aly, Nadjib Bouzar

Publication date 19 December 1999

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1003870427536

zbMATH Keywords

sequential analysisstopping timefirst exit timeexpected valueAR(1) processgeneralized Wald equation

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sequential estimation (62L12) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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• Exit times for past-dependent systems
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