Level-crossing probabilities and first-passage times for linear processes
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Publication:4819499
DOI10.1239/aap/1086957589zbMath1045.62081OpenAlexW2048897182MaRDI QIDQ4819499
Kwok-Wah Ho, Gopal Krishna Basak
Publication date: 24 September 2004
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1086957589
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Martingales with continuous parameter (60G44) Sample path properties (60G17) Fredholm integral equations (45B05)
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Cites Work
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- Approximation with generalized hyperexponential distributions: Weak convergence results
- Time series: theory and methods.
- Markov chain approximation methods in a class of level-crossing problems
- State space modeling of long-memory processes
- On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem
- The Numerical Solution of Integral Equations of the Second Kind
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