Exit times for some nonlinear autoregressive processes
Probability
2019-12-19 v1
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.
Cite
@article{arxiv.1912.08514,
title = {Exit times for some nonlinear autoregressive processes},
author = {Göran Högnäs and Brita Jung},
journal= {arXiv preprint arXiv:1912.08514},
year = {2019}
}