Exit times for multivariate autoregressive processes

DOI10.1016/j.spa.2013.03.003zbMath1290.60029arXiv1211.2085OpenAlexW2067720395MaRDI QIDQ2447701

Brita Jung

Publication date: 28 April 2014

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

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

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)

Related Items (6)

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

Cites Work

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• Large deviations for past-dependent recursions.
• Asymptotic Analysis of Ruin in the Constant Elasticity of Variance Model
• Large deviations for processes with independent increments

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