Exit times for ARMA processes. (1st February 2019)
- Record Type:
- Journal Article
- Title:
- Exit times for ARMA processes. (1st February 2019)
- Main Title:
- Exit times for ARMA processes
- Authors:
- Koski, Timo
Jung, Brita
Högnäs, Göran - Editors:
- Asmussen, S.
Klebaner, F.
Nerman, O.
Vatutin, V. - Abstract:
- Abstract: We study the asymptotic behaviour of the expected exit time from an interval for the ARMA process, when the noise level approaches 0.
- Is Part Of:
- Advances in applied probability. Volume 50:Number A(2018)
- Journal:
- Advances in applied probability
- Issue:
- Volume 50:Number A(2018)
- Issue Display:
- Volume 50, Issue 1 (2018)
- Year:
- 2018
- Volume:
- 50
- Issue:
- 1
- Issue Sort Value:
- 2018-0050-0001-0000
- Page Start:
- 191
- Page End:
- 195
- Publication Date:
- 2019-02-01
- Subjects:
- ARMA model, -- autoregressive, -- exit time, -- first passage time, -- stationary distribution
Primary 60G17, -- Secondary 62M10
Probabilities -- Periodicals
Stochastic models -- Periodicals
Electronic journals
Periodicals
519.2 - Journal URLs:
- http://www.appliedprobability.org/content.aspx?Group=journals&Page=apjournals ↗
- DOI:
- 10.1017/apr.2018.79 ↗
- Languages:
- English
- ISSNs:
- 0001-8678
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 9590.xml