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

DOI10.1134/S0032946012020044zbMATH Open1302.94015MaRDI QIDQ375953FDOQ375953

Authors: M. V. Burnashev, Aslan Tchamkerten 

Publication date: 1 November 2013

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

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• On Optimum Methods in Quickest Detection Problems
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• On the moments and limit distributions of some first passage times
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• Explicit Solution of Inventory Problems with Delivery Lags
• Tracking Stopping Times Through Noisy Observations
• On Excess Over the Boundary
• The impact of delivery lags on irreversible investment under uncertainty
• Tracking a random walk first-passage time through noisy observations

Cited In (2)

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

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