Tracking a random walk first-passage time through noisy observations

DOI10.1214/11-AAP815MaRDI QIDQ691106zbMATH OpenOpenAlexFDO

Authors M. V. Burnashev, Aslan Tchamkerten

Publication date 29 November 2012

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

Full work available at URL https://arxiv.org/abs/1005.0616, https://projecteuclid.org/euclid.aoap/1350067988

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)

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 $pgeq1/2$.

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Cites work

• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
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Cited in

(1)

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

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