On the first passage time of the parabolic boundary by the Markov random walk
Communications in Statistics - Theory and Methods, vol.52, no.17, pp.6078-6087, 2023 (SCI-Expanded, Scopus)
- Publication Type: Article / Article
- Volume: 52 Issue: 17
- Publication Date: 2023
- Doi Number: 10.1080/03610926.2021.2024852
- Journal Name: Communications in Statistics - Theory and Methods
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Applied Science & Technology Source, Business Source Elite, Business Source Premier, CAB Abstracts, Compendex, Computer & Applied Sciences, Veterinary Science Database, zbMATH, Civil Engineering Abstracts
- Page Numbers: pp.6078-6087
- Keywords: First-order autoregressive process, perturbed Markov random walk, central limit theorem, first passage moment, nonlinear boundary
- Open Archive Collection: Article
- Azerbaijan State University of Economics (UNEC) Affiliated: Yes
Abstract
In this paper, we consider a family of moments of the first passage time of a parabolic boundary by a perturbed Markov random walk described by an autoregressive process (Formula presented.) A central limit theorem is proved for a perturbed Markov random walk, and the limit behavior of this family of moments of crossing the parabolic boundary by this walk is studied.