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Problemy Peredachi Informatsii, 2015, Volume 51, Issue 2, Pages 67–85 (Mi ppi2171)  

This article is cited in 3 scientific papers (total in 3 papers)

Methods of Signal Processing

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

M. V. Burnasheva, G. K. Golubevab

a Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, Russia
b Aix-Marseille Université, Marseille, France
Full-text PDF (246 kB) Citations (3)
References:
Abstract: We describe a simple method of finding the limit distribution of the time of first passage over a high level for a random sequence (or random process). The method reduces the considered problem to a well-studied problem of finding the distribution of this random sequence (or process) at a certain fixed time. This allows to consider not only traditional sums of independent random variables but also sums of dependent random variables. As examples, sums of independent random variables with stable limit distribution functions, sequential testing of hypotheses, and problems of the first passage over a high level for Gaussian processes with strong dependencies are considered.
Received: 05.05.2014
Revised: 17.02.2015
English version:
Problems of Information Transmission, 2015, Volume 51, Issue 2, Pages 148–164
DOI: https://doi.org/10.1134/S0032946015020064
Bibliographic databases:
Document Type: Article
UDC: 621.391.1+519.2
Language: Russian
Citation: M. V. Burnashev, G. K. Golubev, “On limit distributions of the time of first passage over a high level”, Probl. Peredachi Inf., 51:2 (2015), 67–85; Problems Inform. Transmission, 51:2 (2015), 148–164
Citation in format AMSBIB
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\by M.~V.~Burnashev, G.~K.~Golubev
\paper On limit distributions of the time of first passage over a~high level
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\yr 2015
\vol 51
\issue 2
\pages 67--85
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Linking options:
  • https://www.mathnet.ru/eng/ppi2171
  • https://www.mathnet.ru/eng/ppi/v51/i2/p67
  • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Проблемы передачи информации Problems of Information Transmission
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    Abstract page:328
    Full-text PDF :97
    References:58
    First page:27
     
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