Tracking a random walk first-passage time through noisy observations

DOI10.1214/11-AAP815zbMATH Open1261.60043arXiv1005.0616OpenAlexW2964323212MaRDI QIDQ691106FDOQ691106

Authors: M. V. Burnashev, Aslan Tchamkerten 

Publication date: 29 November 2012

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

Abstract: Given a Gaussian random walk (or a Wiener process), possibly with drift, observed through noise, we consider the problem of estimating its first-passage time $a{u}_{e}ll$ of a given level $ell$ with a stopping time $eta$ defined over the noisy observation process. Main results are upper and lower bounds on the minimum mean absolute deviation $in{f}_{e}taex|eta-a{u}_{e}ll|$ which become tight as $elloinfty$. Interestingly, in this regime the estimation error does not get smaller if we allow $eta$ to be an arbitrary function of the entire observation process, not necessarily a stopping time. In the particular case where there is no drift, we show that it is impossible to track $a{u}_{e}ll$: $in{f}_{e}taex|eta-a{u}_{e}ll{|}^p=infty$ for any $ell>0$ and $pgeq1/2$.

Full work available at URL: https://arxiv.org/abs/1005.0616

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zbMATH Keywords

sequential analysisoptimal stoppingquickest decision

Mathematics Subject Classification ID

Gaussian processes (60G15) Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• On Optimum Methods in Quickest Detection Problems
• On the moments and limit distributions of some first passage times
• Title not available (Why is that?)
• Tracking Stopping Times Through Noisy Observations
• On Excess Over the Boundary
• Inequalities for the overshoot
• Absolute Estimates for Moments of Certain Boundary Functionals
• Title not available (Why is that?)

Cited In (1)

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

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