The first passage time problem for an autoregressive process AR(p) is examined. When the innovations are gaussian, the determination of the first pas- sage time probability distribution is closely related to computing a multidimensional integral of a suitable gaussian random vector, known in the literature as orthant prob- ability. Recursive equations involving the first passage time probability distribution are given and a numerical scheme is proposed which takes advantage of the recursion. Compared with the existing procedures in the literature, the algorithm we propose is computationally less expensive and reaches a very good accuracy. The accuracy is tested on some closed form expressions we achieve for special choices of the AR(p) parameters.

On the first passage time for autoregressive processes

DI NARDO, Elvira
2008-01-01

Abstract

The first passage time problem for an autoregressive process AR(p) is examined. When the innovations are gaussian, the determination of the first pas- sage time probability distribution is closely related to computing a multidimensional integral of a suitable gaussian random vector, known in the literature as orthant prob- ability. Recursive equations involving the first passage time probability distribution are given and a numerical scheme is proposed which takes advantage of the recursion. Compared with the existing procedures in the literature, the algorithm we propose is computationally less expensive and reaches a very good accuracy. The accuracy is tested on some closed form expressions we achieve for special choices of the AR(p) parameters.
2008
File in questo prodotto:
File Dimensione Formato  
2008-5.pdf

non disponibili

Tipologia: Documento in Post-print
Licenza: DRM non definito
Dimensione 203.83 kB
Formato Adobe PDF
203.83 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11563/1614
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact