On limit distributions of the time of first passage over a high level

DOI10.1134/S0032946015020064zbMath1383.60037MaRDI QIDQ259905

Marat V. Burnashev, Yuri K. Golubev

Publication date: 18 March 2016

Published in: Problems of Information Transmission (Search for Journal in Brave)

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Sequential estimation (62L12)

Related Items (3)

On one problem in multichannel signal detection ⋮ The asymptotic relation between the first crossing point and the last exit time of Gaussian order statistics sequences ⋮ On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences

Cites Work

• Sequential estimation of a threshold crossing time for a Gaussian random walk through correlated observations
• Nearly-optimal sequential tests for finitely many parameter values
• On the moments and limit distributions of some first passage times
• Weak convergence and empirical processes. With applications to statistics
• Estimating a Random Walk First-Passage Time From Noisy or Delayed Observations
• Estimates for the distribution of sums and maxima of sums of random variables without the Cramér condition
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