On the first entry time of a \(\mathbb{Z}_+\)-valued AR(1) process

DOI10.1023/A:1003870427536zbMath0947.60047OpenAlexW2010276534MaRDI QIDQ1807968

Nadjib Bouzar, Emad-Eldin A. A. Aly

Publication date: 19 December 1999

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1003870427536

zbMATH Keywords

stopping timeexpected valuefirst exit timesequential analysisAR(1) processgeneralized Wald equation

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

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On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences

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