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.

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Year of publication:	1992
Authors:	Kim, Hyune-Ju
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 14.1992, 2, p. 97-102
Publisher:	Elsevier
Subject:	Random walk discrete approximation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254843