A computational algorithm for the coverage probability of a first order autogressive process

DOI10.1080/00949658508810797zbMath0578.62079OpenAlexW1991085593MaRDI QIDQ3700640

Mark C. K. Yang, Pan-Yu Lai

Publication date: 1985

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658508810797

zbMATH Keywords

algorithmMarkov processcoverage probabilityextreme value distributionmultivariate integrationprediction intervalsfirst passage time distributionAR(1) time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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