Analysis of a stochastic difference equation: exit times and invariant distributions

MaRDI QIDQ3061983zbMATH OpenFDO

Authors Göran Högnäs, Brita Jung

Publication date 3 January 2011

zbMATH Keywords

autoregressive processesmultivariate normalrecurrencesreturn times

Mathematics Subject Classification ID

Large deviations (60F10) Discrete-time Markov processes on general state spaces (60J05)

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Cited in

(1)

• Exit times for ARMA processes

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