Exit times for ARMA processes

A1 Journal article (refereed)


Internal Authors/Editors


Publication Details

List of Authors: Timo Koski, Brita Jung, Göran Högnäs
Publisher: Cambridge University Press
Publication year: 2018
Journal: Advances in Applied Probability
Journal acronym: AAP
Volume number: 50
Issue number: A
Start page: 191
End page: 195
eISSN: 1475-6064


Abstract

We study the asymptotic behaviour of the expected exit time from an
interval for the ARMA process, when the noise level approaches 0.


Last updated on 2019-14-10 at 04:23