AR(1) 序列的鞅与首达时
概率论
2008-01-03 v1
摘要
利用鞅方法，我们找到了遍历一阶自回归序列 (AR(1)) 越过某水平的首达时具有指数有界性的充分条件。此外，我们证明了一个鞅恒等式，用于获得首达时期望的显式界。
引用
@article{arxiv.0712.3468,
title = {Martingales and first passage times of AR(1) sequences},
author = {Alexander Novikov and Nino Kordzakhia},
journal= {arXiv preprint arXiv:0712.3468},
year = {2008}
}
备注
To appear in a Special Volume of Stochastics: An International Journal of Probability and Stochastic Processes (http://www.informaworld.com/openurl?genre=journal%26issn=1744-2508) edited by N.H. Bingham and I.V. Evstigneev which will be reprinted as Volume 57 of the IMS Lecture Notes Monograph Series (http://imstat.org/publications/lecnotes.htm)