Phase-type distributions and optimal stopping for autoregressive processes
Artikel i vetenskaplig tidskrift, 2012

Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications, the overshoot and the threshold time are of special interest. When the upward innovations are in the class of phase-type distributions, we determine the joint distribution of these two quantities and apply this result to problems of optimal stopping. Using a principle of continuous fit, this leads to explicit solutions. © 2012 Applied Probability Trust.

Autoregressive process

Phase-type innovation

Optimal stopping

Threshold time

Författare

Sören Christensen

Journal of Applied Probability

0021-9002 (ISSN)

Vol. 49 1 22-39

Ämneskategorier

Sannolikhetsteori och statistik

DOI

10.1239/jap/1331216832