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

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    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.
    OriginalspråkOdefinierat/okänt
    Titel på gästpublikationProbability on Algebraic and Geometric Structures
    RedaktörerGregory Budzban, Harry Randolph Hughes, Henri Schurz
    FörlagAmerican Mathematical Society
    Sidor124–131
    ISBN (elektroniskt)978-1-4704-3473-1
    ISBN (tryckt)978-1-4704-1945-5
    StatusPublicerad - 2016
    MoE-publikationstypA4 Artikel i en konferenspublikation
    EvenemangInternational Research Conference “Probability on Algebraic and Geometric Structures” - International Research Conference “Probability on Algebraic and Geometric Structures”
    Varaktighet: 5 jun 20147 jun 2014

    Konferens

    KonferensInternational Research Conference “Probability on Algebraic and Geometric Structures”
    Period05/06/1407/06/14

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