Large deviations for boundary crossing probabilities

DOI10.1214/AOP/1176993768MaRDI QIDQ1165513zbMATH OpenOpenAlexFDO

Authors David Siegmund

Publication date 1982

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176993768

zbMATH Keywords

asymptotic behaviorfirst passage distributionsequential teststopping rule

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Sums of independent random variables; random walks (60G50) Sequential statistical analysis (62L10)

Cited in

(9)

• Markov processes and exponential families
• On excursion sets, tube formulas and maxima of random fields.
• Markov processes and exponential families on a finite set
• On the asymptotic distribution of the scan statistic for empirical distributions
• Uniform convergence of exact large deviations for renewal reward processes
• Brownian approximations to first passage probabilities
• A Repeated Significance Test for Distributions with Heavy Tails
• Tools to Estimate the First Passage Time to a Convex Barrier
• Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift

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