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

zbMATH Open1208.60072MaRDI QIDQ3061983FDOQ3061983

Authors: Göran Högnäs, Brita Jung 

Publication date: 3 January 2011

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zbMATH Keywords

autoregressive processesmultivariate normalrecurrencesreturn times

Mathematics Subject Classification ID

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

Cited In (1)

• Exit times for ARMA processes

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