Exit times for multivariate autoregressive processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:123

Article

Jung, Brita

关键词: Autoregressive processes;    Exit times;    Large deviation principle;    Normal distribution;   

DOI  :  10.1016/j.spa.2013.03.003

来源: Elsevier

【 摘 要 】

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 show that the asymptotic behavior of the exit time depends only on the set itself and on the covariance matrix of the stationary distribution of the process. The results are extended to exit times from intervals for the univariate autoregressive process of order n, where the exit time is of the same order of magnitude as the exponential of the inverse of the variance of the stationary distribution. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

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