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

Tutkimustuotos: Artikkeli kirjassa/raportissa/konferenssijulkaisussa › Konferenssiartikkeli › Tieteellinen › vertaisarvioitu

Abstrakti

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.

Alkuperäiskieli	Ei tiedossa
Otsikko	Probability on Algebraic and Geometric Structures
Toimittajat	Gregory Budzban, Harry Randolph Hughes, Henri Schurz
Kustantaja	American Mathematical Society
Sivut	124–131
ISBN (elektroninen)	978-1-4704-3473-1
ISBN (painettu)	978-1-4704-1945-5
Tila	Julkaistu - 2016
OKM-julkaisutyyppi	A4 Artikkeli konferenssijulkaisuussa
Tapahtuma	International Research Conference “Probability on Algebraic and Geometric Structures” - International Research Conference “Probability on Algebraic and Geometric Structures” Kesto: 5 kesäk. 2014 → 7 kesäk. 2014

Konferenssi

Konferenssi	International Research Conference “Probability on Algebraic and Geometric Structures”
Ajanjakso	05/06/14 → 07/06/14

Viittausmuodot

@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",

}

Jung, B & Högnäs, G 2016, Exit times for some autoregressive processes with non-Gaussian noise distributions. julkaisussa G Budzban, H Randolph Hughes & H Schurz (toim), Probability on Algebraic and Geometric Structures. American Mathematical Society, Sivut 124–131, International Research Conference “Probability on Algebraic and Geometric Structures”, 05/06/14.

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

Tutkimustuotos: Artikkeli kirjassa/raportissa/konferenssijulkaisussa › Konferenssiartikkeli › Tieteellinen › vertaisarvioitu

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 - Publicerad konferensartikel

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 -