Boundary crossing probabilities by nondifferentiable processes and applications to two-phase regression

Hyune-Ju Kim

Statistics & Probability Letters, 1992, vol. 14, issue 2, 97-102

Abstract: 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.

Keywords: Random; walk; discrete; approximation (search for similar items in EconPapers)
Date: 1992
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