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Problemy Peredachi Informatsii, 2015, Volume 51, Issue 2, Pages 67–85
(Mi ppi2171)
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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
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
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
Linking options:
https://www.mathnet.ru/eng/ppi2171 https://www.mathnet.ru/eng/ppi/v51/i2/p67
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Abstract page: | 328 | Full-text PDF : | 97 | References: | 58 | First page: | 27 |
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