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- Title
Limit theorem for the first passage time of the level by the random walk described by nonlinear function of the autoregression process of order one AR(1).
- Authors
Ragimov, F. H.; Farhadova, A. D.; Khalilov, V. S.
- Abstract
In the present paper we consider the family of the first exit time Ta = inf{n&8805; 1 : nΔ(Tn)>a }where a ≥ 0, Tn Tnn and Δ(x), x ϵ R its some Borel function. We prove an integral limit theorem for the family of the stopping time Ta ofthe form (2.4).
- Subjects
LIMIT theorems; NONLINEAR functions; RANDOM walks; AUTOREGRESSION (Statistics); STATISTICAL models
- Publication
Uzbek Mathematical Journal, 2018, Issue 2, p127
- ISSN
2010-7269
- Publication type
Article
- DOI
10.29229/uzmj.2018-2-12