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

Brita Jung; Göran Högnäs

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

Research output: Chapter in Book/Conference proceeding › Conference contribution › Scientific › peer-review

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

Cite this

@inproceedings{845061192ab84076b2437e280716eefa,

title = "Exit times for some autoregressive processes with non-Gaussian noise distributions",

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.",

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

year = "2016",

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

isbn = "978-1-4704-1945-5",

pages = "124–131",

editor = "Gregory Budzban and {Randolph Hughes}, Harry and Henri Schurz",

booktitle = "Probability on Algebraic and Geometric Structures",

publisher = "American Mathematical Society",

note = "International Research Conference “Probability on Algebraic and Geometric Structures” ; Conference date: 05-06-2014 Through 07-06-2014",

}

Exit times for some autoregressive processes with non-Gaussian noise distributions. / Jung, Brita ; Högnäs, Göran.
Probability on Algebraic and Geometric Structures. ed. / Gregory Budzban; Harry Randolph Hughes; Henri Schurz. American Mathematical Society, 2016. p. 124–131.

Research output: Chapter in Book/Conference proceeding › Conference contribution › Scientific › peer-review

TY - GEN

T1 - Exit times for some autoregressive processes with non-Gaussian noise distributions

AU - Jung, Brita

AU - Högnäs, Göran

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

M3 - Konferensbidrag

SN - 978-1-4704-1945-5

SP - 124

EP - 131

BT - Probability on Algebraic and Geometric Structures

A2 - Budzban, Gregory

A2 - Randolph Hughes, Harry

A2 - Schurz, Henri

PB - American Mathematical Society

T2 - International Research Conference “Probability on Algebraic and Geometric Structures”

Y2 - 5 June 2014 through 7 June 2014

ER -