On the connection between orthant probabilities and the first passage time problem

DOI10.1080/0094965042000221664zbMath1122.62324arXiv2101.10583OpenAlexW2150595520MaRDI QIDQ5460691

Elvira di Nardo

Publication date: 18 July 2005

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

Full work available at URL: https://arxiv.org/abs/2101.10583

zbMATH Keywords

first passage timeorthant probabilitiesDavies-Harte algorithmsimulation of Gaussian discrete-time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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