First passage time and crossing probabilities of some correlated processes
by Ho Kwok Wah
THESIS
1999
M.Phil. Mathematics
viii, 55 leaves : ill. ; 30 cm
Abstract
Discrete time series models are commonly used to represent economical and physical data. In decision making and system control, the first passage time and crossing probabilities of these processes against certain thresold levels are important quantities.
In this thesis, we applied an integral equation approach together with the state space representations of time series models to evaluate a kind of crossing probabilities for the AR(p) and ARMA(l,l) models and the mean passage time for AP(p) processes. Numerical schemes are used to solve the integral equations.
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