Abstract
Guo (Methodol Comput Appl Probab 3(2):135-143, 2001a) derived the Laplace transform of the first-passage time in a 2-state Markov-switching model and gave one of the pioneering works improving the analytical tractability of Markov-switching models. However, the Laplace transforms in her paper are wrong. This short note provides the correct expression and an alternative proof using the matrix Wiener-Hopf technique.
Original language | English |
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Pages (from-to) | 771-776 |
Number of pages | 6 |
Journal | Methodology and Computing in Applied Probability |
Volume | 16 |
Issue number | 3 |
DOIs | |
State | Published - Sep 2014 |
Keywords
- First-passage time
- Laplace transform
- Markov switching
- Regime switching