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

DOI10.1016/J.SPL.2016.12.011zbMATH Open1463.62097OpenAlexW2561652602MaRDI QIDQ511571FDOQ511571

Authors: 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

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zbMATH Keywords

nonparametric estimatorreal exchange ratesexpected time

Mathematics Subject Classification ID

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

Cites Work

• A new model for multivariate Markov chains
• Title not available (Why is that?)
• Markov chains and stochastic stability
• Title not available (Why is that?)
• Bootstrapping Markov chains: Countable case
• Purchasing power parity analyzed through a continuous-time version of the ESTAR model

Cited In (4)

• The expected time to cross a threshold and its determinants: a simple and flexible framework
• Nonparametric estimation of the quantiles for a probability of threshold crossing with dependent data
• First passage times in portfolio optimization: a novel nonparametric approach
• Bernoulli vector autoregressive model

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