Exit times for multivariate autoregressive processes

DOI10.1016/J.SPA.2013.03.003MaRDI QIDQ2447701zbMATH OpenOpenAlexFDO

Authors 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)

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.

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Cites work

• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 3876298 (Why is no real title available?)
• Asymptotic analysis of ruin in the constant elasticity of variance model
• Exit times for past-dependent systems
• Large deviations for past-dependent recursions.
• Large deviations for processes with independent increments

Cited in

(6)

• On a Stochastic Ricker Competition Model
• 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

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