Level-crossing probabilities and first-passage times for linear processes

DOI10.1239/aap/1086957589zbMath1045.62081OpenAlexW2048897182MaRDI QIDQ4819499

Kwok-Wah Ho, Gopal Krishna Basak

Publication date: 24 September 2004

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1086957589

zbMATH Keywords

integral equationmartingalefirst passage timeARMA processlevel crossing probabilityAR process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Martingales with continuous parameter (60G44) Sample path properties (60G17) Fredholm integral equations (45B05)

Related Items (4)

Probabilistic solutions of integral equations from optimal control ⋮ On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails ⋮ Finding the optimal pre-set boundaries for pairs trading strategy based on cointegration technique ⋮ Exit times for ARMA processes

Cites Work

• Unnamed Item
• Approximation with generalized hyperexponential distributions: Weak convergence results
• Time series: theory and methods.
• Markov chain approximation methods in a class of level-crossing problems
• State space modeling of long-memory processes
• On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem
• The Numerical Solution of Integral Equations of the Second Kind

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