The zero-crossing rate of pth-order autoregressive processes

DOI10.1111/1467-9892.00055zbMATH Open0904.62100OpenAlexW2119402568MaRDI QIDQ4351576FDOQ4351576

Authors: Ximing Cheng, Yougui Wu, Jinguan Du, Huowang Liu 

Publication date: 25 January 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00055

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zbMATH Keywords

asymptotic stationary processzero-crossing rateasymptotic correlation functionclipped series

Mathematics Subject Classification ID

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

Cited In (3)

• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• The band-crossing rate of \(P\)th-order autoregressive processes
• THE ZERO-CROSSING RATE OF AUTOREGRESSIVE PROCESSES AND ITS LINK TO UNIT ROOTS

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