Corpus ID: 17554030

The Likelihood of Mixed Hitting Times

@inproceedings{Abbring2019TheLO,
  title={The Likelihood of Mixed Hitting Times},
  author={Jaap H. Abbring and Tim Salimans},
  year={2019}
}
  • Jaap H. Abbring, Tim Salimans
  • Published 2019
  • Mathematics, Economics
  • We present a method for eciently computing the likelihood of a mixed hittingtime model that species durations as the rst time a latent L evy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but its Laplace transform is. Our approach to its computation relies on numerical methods for inverting Laplace transforms that exploit special properties of the rst passage times of L evy processes. We use our method to implement a maximum likelihood… CONTINUE READING

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