Asymptotics of a boundary crossing probability of a Brownian bridge with general trend

DOI10.1023/A:1026242019110zbMath1048.60025OpenAlexW1754101309MaRDI QIDQ1419395

Enkelejd Hashorva, Frank Miller, Wolfgang Bischoff, Juerg Hüsler

Publication date: 14 January 2004

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1026242019110

zbMATH Keywords

large deviationsasymptotic resultsboundary crossing probabilityBrownian bridge with trendsignal-plus-noise modeltests of Kolmogorov type

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Gaussian processes (60G15) Linear regression; mixed models (62J05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Large deviations (60F10) Markov processes: hypothesis testing (62M02)

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