Limit theorem for the first passage time of the level by the random walk described by nonlinear function of the autoregression process of order one AR(1)

DOI10.29229/UZMJ.2018-2-12zbMath1474.60057OpenAlexW2884063013WikidataQ129469822 ScholiaQ129469822MaRDI QIDQ5002019

Vugar S. Khalilov, F. H. Ragimov, Aynura D. Farhadova

Publication date: 26 July 2021

Published in: Uzbek Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.29229/uzmj.2018-2-12

zbMATH Keywords

randomrandom walksfirst exit timeprocessesautoregression process of order one \(AR(1)\)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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