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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2016, Volume 13, Pages 1229–1248
DOI: https://doi.org/10.17377/semi.2016.13.096 (Mi semr746) 		 
This article is cited in 8 scientific papers (total in 8 papers)

Probability theory and mathematical statistics

Distribution of the time of attaining the maximum for the difference of the two Poisson's processes with negative linear drift

V. E. Mosyagin, N. A. Shvemler

Tyumen State University, Volodarskogo str., 6, 625003, Tyumen, Russia
Full-text PDF (188 kB) Citations (8)
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DOI: https://doi.org/10.17377/semi.2016.13.096
Abstract: We are considering the combination of two Poisson processes with linear drift on the whole real line in the case when negative middle drift is fulfilled. We find the distribution function for the moment of attaining the maximum for this process. As well known from monograph of Ibragimov and Khasminskii this distribution function is the limit for the distributions of normalized maximum likelihood estimators for the only discontinuous point of a density.
Keywords: Poisson process with linear drift, stochastic process with negative middle drift, probability functions of the functionals of the stochastic processes.
Funding agency Grant number
Russian Foundation for Basic Research 15-01-07460_а
Received October 22, 2016, published December 16, 2016
Bibliographic databases:
Document Type: Article
UDC: 519.213
MSC: 60G51
Language: Russian
Citation: V. E. Mosyagin, N. A. Shvemler, “Distribution of the time of attaining the maximum for the difference of the two Poisson's processes with negative linear drift”, Sib. Èlektron. Mat. Izv., 13 (2016), 1229–1248
Citation in format AMSBIB
\Bibitem{MosShv16}
\by V.~E.~Mosyagin, N.~A.~Shvemler
\paper Distribution of the time of attaining the maximum for the difference of the two Poisson's processes with negative linear drift
\jour Sib. \`Elektron. Mat. Izv.
\yr 2016
\vol 13
\pages 1229--1248
\mathnet{http://mi.mathnet.ru/semr746}
\crossref{https://doi.org/10.17377/semi.2016.13.096}
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