Estimating a Random Walk First-Passage Time From Noisy or Delayed Observations

DOI10.1109/TIT.2012.2192256zbMath1365.62326arXiv1203.4810MaRDI QIDQ5271799

Marat V. Burnashev, Aslan Tchamkerten

Publication date: 12 July 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.4810

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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

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