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A Correction Note on: When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process

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  • Peter Hieber

    (Technische Universität München)

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.

Suggested Citation

  • Peter Hieber, 2014. "A Correction Note on: When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 771-776, September.
    • Handle: RePEc:spr:metcap:v:16:y:2014:i:3:d:10.1007_s11009-013-9355-6
    DOI: 10.1007/s11009-013-9355-6
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    References listed on IDEAS

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