An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences

DOI10.1080/07474946.2011.539925zbMath1242.62086OpenAlexW2028709070MaRDI QIDQ3083472

Sören Christensen, Albrecht Irle, Alexander Novikov

Publication date: 21 March 2011

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2011.539925

zbMATH Keywords

autoregressive sequencesexponential innovationsthreshold Markovian times

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of mathematical programming (90C90) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites Work

• Optimal stopping on autoregressive schemes
• Optimum Character of the Sequential Probability Ratio Test
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