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

DOI10.1016/J.SPL.2016.12.011MaRDI QIDQ511571zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

nonparametric estimatorreal exchange ratesexpected time

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3954111 (Why is no real title available?)
• scientific article; zbMATH DE number 3701980 (Why is no real title available?)
• A new model for multivariate Markov chains
• Bootstrapping Markov chains: Countable case
• Markov chains and stochastic stability
• Purchasing power parity analyzed through a continuous-time version of the ESTAR model

Cited in

(4)

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

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