Exit times for ARMA processes

Tutkimustuotos: Lehtiartikkeli › Artikkeli › Tieteellinen › vertaisarvioitu

2 Sitaatiot (Scopus)

Abstrakti

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

Alkuperäiskieli	Ei tiedossa
Sivut	191–195
Julkaisu	Advances in Applied Probability
Vuosikerta	50
Numero	A
DOI - pysyväislinkit	https://doi.org/10.1017/apr.2018.79
Tila	Julkaistu - 2018
OKM-julkaisutyyppi	A1 Julkaistu artikkeli, soviteltu

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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",

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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 -