Second order expansions for the moments of minimum point of an unbalanced two-sided normal random walk

DOI10.1023/A:1003843520980zbMATH Open0954.60070OpenAlexW2085649149MaRDI QIDQ1300764FDOQ1300764

Authors: Yanhong Wu 

Publication date: 13 September 2000

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1003843520980

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zbMATH Keywords

Brownian motionstrong renewal theoremladder height and ladder epoch

Mathematics Subject Classification ID

Gaussian processes (60G15) Renewal theory (60K05)

Cited In (4)

• PROPERTIES OF THE MINIMUM POINT OF AN UNBALANCED TWO-SIDED RANDOM WALK
• Bias of estimator of change point detected by a CUSUM procedure
• Inference for Change-Point and Post-Change Mean with Possible Change in Variance
• Inference for post-change mean by a CUSUM procedure

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