On moments of the first ladder height of random walks with small drift

DOI10.1214/aoap/1177005656zbMath0760.60064OpenAlexW2059879346MaRDI QIDQ1201321

Joseph T. Chang

Publication date: 17 January 1993

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005656

zbMATH Keywords

first passage timequality controlboundary crossing probabilities for random walksdetecting a change in a probability distributionrandom walk overshoots

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Sequential statistical analysis (62L10) Limit theorems in probability theory (60F99)

Related Items (15)

Approximation results for the moments of random walk with normally distributed interference of chance ⋮ Bias of estimator of change point detected by a CUSUM procedure ⋮ Ladder heights, Gaussian random walks and the Riemann zeta function ⋮ Approximation formulas for the moments of the boundary functional of a Gaussian random walk with positive drift by using Siegmund's formula ⋮ A lower confidence bound for the change point after a sequential CUSUM test ⋮ Inference for post-change parameters after sequential CUSUM test under AR(1) model ⋮ On Lerch's transcendent and the Gaussian random walk ⋮ Cumulants of the maximum of the Gaussian random walk ⋮ On calculation of moments of ladder heights ⋮ Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift ⋮ On the biases of change point and change magnitude estimation after CUSUM test ⋮ False Alarms and Sparse Change Segment Detection by Using a CUSUM Procedure ⋮ Complete corrected diffusion approximations for the maximum of a random walk ⋮ On the Moments of a Semi-Markovian Random Walk with Gaussian Distribution of Summands ⋮ Inference after truncated one-sided sequential test

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