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- W4300107599 abstract "We study exit times from a set for a family of multivariate autoregressive processes with normally distributed noise. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends only on the set itself and on the covariance matrix of the stationary distribution of the process. The results are extended to exit times from intervals for the univariate autoregressive process of order n, where the exit time is of the same order of magnitude as the exponential of the inverse of the variance of the stationary distribution." @default.
- W4300107599 created "2022-10-03" @default.
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- W4300107599 date "2012-11-09" @default.
- W4300107599 modified "2023-09-30" @default.
- W4300107599 title "Exit times for multivariate autoregressive processes" @default.
- W4300107599 doi "https://doi.org/10.48550/arxiv.1211.2085" @default.
- W4300107599 hasPublicationYear "2012" @default.
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