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20132025
most citedEscape and absorption probabilities for obliquely reflected Brownian motion in a quadrant

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math.ST2023

Exact and asymptotic distribution theory for the empirical correlation of two AR(1) processes with Gaussian increments

Philip A. Ernst, Dongzhou Huang

This paper begins with a study of the exact distribution of the empirical correlation of two independent AR(1) processes with Gaussian increments. We proceed to develop rates of co…