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math.PR2019
Exit times for some nonlinear autoregressive processes
Göran Högnäs, Brita Jung
By using the large deviation principle, we investigate the expected exit time from the interval [-1,1] of a process of autoregressive type. The case when the autoregression functio…
math.PR2012
Exit times for multivariate autoregressive processes
Brita Jung
We study exit times from a set for a family of multivariate autoregressive processes with normally distributed noise. By using the large deviation principle, and other methods, we…