Integral limit theorem for the first passage time for the level of random walk, described with AR (1) sequences

MaRDI QIDQ2870873zbMATH OpenFDO

Authors F. Rahimov, Fuad J. Azizov, Vugar S. Khalilov

Publication date 21 January 2014

Published in Transactions of National Academy of Sciences of Azerbaijan. Series of Physical-Technical and Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

first passage timeautoregressive processintegral limit theoremuniformly continuous in probability (u.c.i.p.)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Recommendations

• scientific article; zbMATH DE number 7638804
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Cited in

(6)

• scientific article; zbMATH DE number 7638799 (Why is no real title available?)
• On asymptotic behavior of the mean value of the family of the first exit time of random walk described by a nonlinear function of first order autoregression process \((AR (1))\)
• On the first passage time for autoregressive processes
• scientific article; zbMATH DE number 7638804 (Why is no real title available?)
• scientific article; zbMATH DE number 7619246 (Why is no real title available?)
• On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences

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