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Exit times for ARMA processes

Published online by Cambridge University Press:  01 February 2019

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: [email protected]
Department of Natural Sciences, Åbo Akademi University, FIN-20500 Åbo, Finland. Email address: [email protected]
Department of Natural Sciences, Åbo Akademi University, FIN-20500 Åbo, Finland. Email address: [email protected]
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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.

Type
Original Article
Copyright
Copyright © Applied Probability Trust 2018 

References

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