Year: 2019
Type: preprint
Abstract: 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 function f is linear and the innovations have a normal distribution has been treated before. In this paper, we extend the results to more general functions f, with the main focus on piecewise linear functions.
Source: arXiv (Cornell University)
Authors: Högnäs, Göran, Jung, Brita
Institution: Åbo Akademi University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4287992268