Exit times for some nonlinear autoregressive processes

Göran Högnäs; Brita Jung

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arXiv · 1912.08514

Exit times for some nonlinear autoregressive processes

Göran Högnäs·Brita Jung

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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.

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Göran Högnäs, Brita Jung. 2019-12-18. Exit times for some nonlinear autoregressive processes. https://arxiv.org/abs/1912.08514

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