Sequential estimation of a threshold crossing time for a Gaussian random walk through correlated observations

DOI10.1134/S0032946012020044MaRDI QIDQ375953zbMATHFDO

Authors M. V. Burnashev, Aslan Tchamkerten

Publication date 1 November 2013

Published in Problems of Information Transmission (Search for Journal in Brave)

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3266186 (Why is no real title available?)
• scientific article; zbMATH DE number 3357742 (Why is no real title available?)
• scientific article; zbMATH DE number 3073499 (Why is no real title available?)
• Explicit Solution of Inventory Problems with Delivery Lags
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• Tracking Stopping Times Through Noisy Observations
• Tracking a random walk first-passage time through noisy observations

Cited in

(2)

• Tracking a random walk first-passage time through noisy observations
• On limit distributions of the time of first passage over a high level

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