Level crossing probabilities and first passage times for linear processes

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Binder1.pdf (2.6 MB)

Date

2004

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Keywords

First passage time, Level crossing probability, Integral equation, Martingale, AR process, ARMA process

Citation

Advances in applied probability,V36,2,p643-666

URI

http://hdl.handle.net/10263/2685

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Mathematics and Statistics

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