Exit times for ARMA processes
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Publication:5215062
DOI10.1017/apr.2018.79zbMath1444.60022OpenAlexW2914035064MaRDI QIDQ5215062
Timo Koski, Göran Högnäs, Brita Jung
Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2018.79
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10)
Uses Software
Cites Work
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- Survival probabilities of autoregressive processes