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Teor. Veroyatnost. i Primenen., 1990, Volume 35, Issue 2, Pages 282–292 (Mi tvp996)  

This article is cited in 11 scientific papers (total in 11 papers)

On the first exit time of an autoregressive process beyond a level and an application to the “change-point” problem

A. A. Novikov


Full text: PDF file (611 kB)

English version:
Theory of Probability and its Applications, 1990, 35:2, 269–279

Bibliographic databases:

Received: 24.09.1987

Citation: A. A. Novikov, “On the first exit time of an autoregressive process beyond a level and an application to the “change-point” problem”, Teor. Veroyatnost. i Primenen., 35:2 (1990), 282–292; Theory Probab. Appl., 35:2 (1990), 269–279

Citation in format AMSBIB
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\by A.~A.~Novikov
\paper On the first exit time of an autoregressive process beyond a level and an application to the ``change-point'' problem
\jour Teor. Veroyatnost. i Primenen.
\yr 1990
\vol 35
\issue 2
\pages 282--292
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\zmath{https://zbmath.org/?q=an:0723.60044|0702.60048}
\transl
\jour Theory Probab. Appl.
\yr 1990
\vol 35
\issue 2
\pages 269--279
\crossref{https://doi.org/10.1137/1135035}
\isi{http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&DestLinkType=FullRecord&DestApp=ALL_WOS&KeyUT=A1990FW92100006}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. A. A. Novikov, “Martingales and first passage times for Ornstein–Uhlenbeck processes with a jump component”, Theory Probab. Appl., 48:2 (2004), 288–303  mathnet  crossref  crossref  mathscinet  zmath  isi
    2. Novikov A., Melchers R.E., Shinjikashvili E., Kordzakhia N., “First passage time of filtered Poisson process with exponential shape function”, Probabilistic Engineering Mechanics, 20:1 (2005), 57–65  crossref  isi
    3. A. A. Novikov, “On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences”, Theory Probab. Appl., 53:3 (2009), 419–429  mathnet  crossref  crossref  mathscinet  zmath  isi
    4. Novikov A., Kordzakhia N., “Martingales and first passage times of AR(1) sequences”, Stochastics-An International Journal of Probability and Stochastic Processes, 80:2–3 (2008), 197–210  crossref  mathscinet  zmath  isi
    5. Borovkov K., Novikov A., “On exit times of Levy-driven Ornstein–Uhlenbeck processes”, Statistics & Probability Letters, 78:12 (2008), 1517–1525  crossref  mathscinet  zmath  isi
    6. Habtemicael S. SenGupta I., “Ornstein–Uhlenbeck Processes For Geophysical Data Analysis”, Physica A, 399 (2014), 147–156  crossref  isi
    7. Wergen G., “Modeling Record-Breaking Stock Prices”, Physica A, 396 (2014), 114–133  crossref  isi
    8. Zhang H. Hadjiliadis O. Schaefer T. Poor H.V., “Quickest Detection in Coupled Systems”, SIAM J. Control Optim., 52:3 (2014), 1567–1596  crossref  isi
    9. Brodsky B., “Change-Point Analysis in Nonstationary Stochastic Models”, Change-Point Analysis in Nonstationary Stochastic Models, Crc Press-Taylor & Francis Group, 2017, 1–345  isi
    10. Aliev S.A., Rahimov F.H., Hashimova T.E., Farhadova A.D., Bagirova G.A., “Limit Theorems For the Family of the First Passage Time of the Parabola By a Random Walk Described By the Autoreqression Process of Order One (Ar(1))”, Proceedings of the 6Th International Conference on Control and Optimization With Industrial Applications, Vol i, eds. Fikret A., Tamer B., Baku State Univ, Inst Applied Mathematics, 2018, 65–67  mathscinet  isi
    11. Rahimov F.H., Hashimova T.E., Farhadova A.D., Khalilov V.S., Gulieva L.V., “Limit Theorem For the First Passage Time of the Level By the Random Walk Described By Nonlinear Function of the Autoregression Process of Order One Ar(1)”, Proceedings of the 6Th International Conference on Control and Optimization With Industrial Applications, Vol II, eds. Fikret A., Tamer B., Baku State Univ, Inst Applied Mathematics, 2018, 244–246  mathscinet  isi
  • Теория вероятностей и ее применения Theory of Probability and its Applications
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