Sammanfattning
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.
Originalspråk | Odefinierat/okänt |
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Titel på gästpublikation | Probability on Algebraic and Geometric Structures |
Redaktörer | Gregory Budzban, Harry Randolph Hughes, Henri Schurz |
Förlag | American Mathematical Society |
Sidor | 124–131 |
ISBN (elektroniskt) | 978-1-4704-3473-1 |
ISBN (tryckt) | 978-1-4704-1945-5 |
Status | Publicerad - 2016 |
MoE-publikationstyp | A4 Artikel i en konferenspublikation |
Evenemang | International Research Conference “Probability on Algebraic and Geometric Structures” - International Research Conference “Probability on Algebraic and Geometric Structures” Varaktighet: 5 jun 2014 → 7 jun 2014 |
Konferens
Konferens | International Research Conference “Probability on Algebraic and Geometric Structures” |
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Period | 05/06/14 → 07/06/14 |