A note on Durbin's formula for the first-passage density (Q578742): Difference between revisions
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Latest revision as of 10:59, 18 June 2024
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English | A note on Durbin's formula for the first-passage density |
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A note on Durbin's formula for the first-passage density (English)
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1987
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Let y be an \({\mathbb{R}}^ n\)-valued, continuously differentiable Gaussian process with \(Ey=0\). Let \(F: {\mathbb{R}}^ n\to {\mathbb{R}}^ n\) be continuously differentiable and one-to-one and let \(z=F\circ y=(z_ 1,...,z_ n).\) The author considers the process \(Y=z_ 1-a\), where a is a continuously differentiable function, and gives an explicit formula for the density function of the time of the first zero-upcrossing of Y. This extends a formula due to \textit{J. Durbin} [J. Appl. Probab. 22, 99-122 (1985; Zbl 0576.60029)] to non-Gaussian processes.
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boundary-crossing probability
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exit density
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regression method
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first zero-upcrossing
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