A Correction Note on: When the "Bull" Meets the "Bear"-A First Passage Time Problem for a Hidden Markov Process

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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 languageEnglish
Pages (from-to)771-776
Number of pages6
JournalMethodology and Computing in Applied Probability
Volume16
Issue number3
DOIs
StatePublished - Sep 2014

Keywords

  • First-passage time
  • Laplace transform
  • Markov switching
  • Regime switching

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