Approximating Shepp's constants for the Slepian process

DOI10.1016/j.spl.2019.05.001zbMath1458.60044arXiv1812.11101OpenAlexW2964294236MaRDI QIDQ2322664

Jack Noonan, Anatoly A. Zhigljavsky

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.11101

zbMATH Keywords

extreme value theoryboundary crossing probabilitySlepian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10)

Related Items (2)

First passage times for Slepian process with linear and piecewise linear barriers ⋮ Power of the MOSUM test for online detection of a transient change in mean

Cites Work

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• Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
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• Survival exponents for some Gaussian processes
• The Slepian zero set, and Brownian bridge embedded in Brownian motion by a spacetime shift
• Computational Methods for Integral Equations
• First Passage Time for a Particular Gaussian Process
• Asymptotic distributions for the Ornstein-Uhlenbeck process
• Random Fields and Geometry
• Upcrossing Probabilities for Stationary Gaussian Processes
• First Passage Time for a Particular Gaussian Process

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