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

DOI10.1023/A:1003870427536zbMATH Open0947.60047OpenAlexW2010276534MaRDI QIDQ1807968FDOQ1807968

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

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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)

Cited In (3)

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• On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
• Exit times for past-dependent systems

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