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

sequential teststopping ruleasymptotic behaviorfirst passage distribution

Mathematics Subject Classification ID

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

Cited in

(9)

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

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