Abstract
We consider the asymptotic expected exit time from an interval for autoregressive processes with non-Gaussian noise. When the noise follows a Laplace distribution we get a limit. For some stable distributions we get an upper bound.
Original language | Undefined/Unknown |
---|---|
Title of host publication | Probability on Algebraic and Geometric Structures |
Editors | Gregory Budzban, Harry Randolph Hughes, Henri Schurz |
Publisher | American Mathematical Society |
Pages | 124–131 |
ISBN (Electronic) | 978-1-4704-3473-1 |
ISBN (Print) | 978-1-4704-1945-5 |
Publication status | Published - 2016 |
MoE publication type | A4 Article in a conference publication |
Event | International Research Conference “Probability on Algebraic and Geometric Structures” - International Research Conference “Probability on Algebraic and Geometric Structures” Duration: 5 Jun 2014 → 7 Jun 2014 |
Conference
Conference | International Research Conference “Probability on Algebraic and Geometric Structures” |
---|---|
Period | 05/06/14 → 07/06/14 |