The maximum term and first passage times for autoregressions
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Publication:1168643
DOI10.1214/aop/1176993781zbMath0493.60049OpenAlexW2021174916MaRDI QIDQ1168643
Publication date: 1982
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176993781
Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Limit theorems in probability theory (60F99)
Related Items (3)
Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution ⋮ On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails ⋮ Limiting distribution of sums of nonnegative stationary random variables
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