Exit times for some autoregressive processes with non-Gaussian noise distributions

DOI10.1090/conm/668/13399zbMath1415.60087OpenAlexW4246720439MaRDI QIDQ5225284

Brita Jung, Göran Högnäs

Publication date: 19 July 2019

Published in: Probability on Algebraic and Geometric Structures (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/conm/668/13399

zbMATH Keywords

stable distributionsautoregressive processesexit timesLaplace distribution

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

Cites Work

• Exit times for multivariate autoregressive processes
• Persistence Probabilities and Exponents
• Martingales and first passage times of AR(1) sequences
• Survival probabilities of autoregressive processes
• Unnamed Item

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