A simple nonparametric method to estimate the expected time to cross a threshold

DOI10.1016/J.SPL.2016.12.011zbMath1463.62097OpenAlexW2561652602MaRDI QIDQ511571

João Nicolau

Publication date: 21 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.12.011

zbMATH Keywords

real exchange ratesnonparametric estimatorexpected time

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

First passage times in portfolio optimization: a novel nonparametric approach ⋮ The expected time to cross a threshold and its determinants: a simple and flexible framework ⋮ Bernoulli vector autoregressive model

Cites Work

• A New Model for Multivariate Markov Chains
• Purchasing power parity analyzed through a continuous-time version of the ESTAR model
• Markov chains and stochastic stability
• Bootstrapping Markov chains: Countable case
• Unnamed Item
• Unnamed Item

This page was built for publication: A simple nonparametric method to estimate the expected time to cross a threshold