Exit times for multivariate autoregressive processes

DOI10.1016/J.SPA.2013.03.003zbMATH Open1290.60029arXiv1211.2085OpenAlexW2067720395MaRDI QIDQ2447701FDOQ2447701

Authors: Brita Jung 

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study exit times from a set for a family of multivariate autoregressive processes with normally distributed noise. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends only on the set itself and on the covariance matrix of the stationary distribution of the process. The results are extended to exit times from intervals for the univariate autoregressive process of order n, where the exit time is of the same order of magnitude as the exponential of the inverse of the variance of the stationary distribution.

Full work available at URL: https://arxiv.org/abs/1211.2085

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zbMATH Keywords

normal distributionlarge deviation principleautoregressive processesexit times

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Large deviations for processes with independent increments
• Large deviations for past-dependent recursions.
• Exit times for past-dependent systems
• Asymptotic analysis of ruin in the constant elasticity of variance model

Cited In (6)

• On the lifetime of a size-dependent branching process
• An approximation of populations on a habitat with large carrying capacity
• Exit times for some autoregressive processes with non-Gaussian noise distributions
• Quasi-stationary asymptotics for perturbed semi-Markov processes in discrete time
• Exit times for ARMA processes
• On a Stochastic Ricker Competition Model

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