Boundary crossing probabilities by nondifferentiable processes and applications to two-phase regression
We derive a first order approximation for the probability that a general two-dimensional random walk crosses a circular boundary. Simulations are performed to assess the accuracy of the approximation, and statistical applications are discussed.
Year of publication: |
1992
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Authors: | Kim, Hyune-Ju |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 14.1992, 2, p. 97-102
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Publisher: |
Elsevier |
Subject: | Random walk discrete approximation |
Saved in:
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