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Exit times for ARMA processes

Part of: Inference from stochastic processes Stochastic processes

Published online by Cambridge University Press:  01 February 2019

Timo Koski ,
Brita Jung  and
Göran Högnäs
Timo Koski*
Affiliation:
KTH Royal Institute of Technology
Brita Jung*
Affiliation:
Åbo Akademi University
Göran Högnäs*
Affiliation:
Åbo Akademi University
*
Department of Mathematics, KTH Royal Institute of Technology, SE-100 44 Stockholm, Sweden. Email address: tjtkoski@kth.se
Department of Natural Sciences, Åbo Akademi University, FIN-20500 Åbo, Finland. Email address: brita.jung@abo.fi
Department of Natural Sciences, Åbo Akademi University, FIN-20500 Åbo, Finland. Email address: ghognas@abo.fi
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Abstract

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

Keywords

ARMA modelautoregressiveexit timefirst passage timestationary distribution

MSC classification

Primary: 60G17: Sample path properties
Secondary: 62M10: Time series, auto-correlation, regression, etc.

Information

Type
Original Article
Information
Advances in Applied Probability , Volume 50 , Issue A: Branching and Applied Probability , December 2018 , pp. 191 - 195
Copyright
Copyright © Applied Probability Trust 2018 

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