Exit times for ARMA processes

Research output: Contribution to journal › Article › Scientific › peer-review

1 Citation (Scopus)

Abstract

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

Original language	Undefined/Unknown
Pages (from-to)	191–195
Journal	Advances in Applied Probability
Volume	50
Issue number	A
DOIs	https://doi.org/10.1017/apr.2018.79
Publication status	Published - 2018
MoE publication type	A1 Journal article-refereed

@article{f787684b9ce94660b480207b75f220c7,

title = "Exit times for ARMA processes",

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

author = "Timo Koski and Brita Jung and G{\"o}ran H{\"o}gn{\"a}s",

year = "2018",

doi = "10.1017/apr.2018.79",

language = "Odefinierat/ok{\"a}nt",

volume = "50",

pages = "191–195",

journal = "Advances in Applied Probability",

issn = "0001-8678",

publisher = "Applied Probability Trust",

number = "A",

}

TY - JOUR

T1 - Exit times for ARMA processes

AU - Koski, Timo

AU - Jung, Brita

AU - Högnäs, Göran

PY - 2018

Y1 - 2018

N2 - We study the asymptotic behaviour of the expected exit time from an interval for the ARMA process, when the noise level approaches 0.

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

U2 - 10.1017/apr.2018.79

DO - 10.1017/apr.2018.79

M3 - Artikel

SN - 0001-8678

VL - 50

SP - 191

EP - 195

JO - Advances in Applied Probability

JF - Advances in Applied Probability

IS - A

ER -