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

optimal stoppingquickest decisionsequential analysis

Mathematics Subject Classification ID

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

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 $pgeq1/2$.

Review text

Given a Gaussian random walk (or a Wiener process), possibly with drift, observed trough noise, the problem of estimating its first-passage time \(\tau_l\) of a given level \(l\) with a stopping time \(\eta\) defined over the noisy observation process is considered. Non-asymptotic upper and lower bounds on the minimum mean absolute deviation \(\inf_{\eta}\operatorname{E}|\eta-\tau_l|\) have been derived that coincide in certain asymptotic (as \(l\to\infty\)) regimes. In these regimes the estimation error does not get smaller if \(\eta\) is an arbitrary function of the entire observation process, not necessarily a stopping time. In the particular case where there is no drift, it is shown that it is impossible to track \(\tau_l:\) \(\inf_{\eta}\operatorname{E}|\eta-\tau_l|^p=\infty\) for any \(l>0\) and \(p\geq 1/2\). In the paper, it is mentioned that extensions to other loss functions or non-Gaussian settings may be envisioned.

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Cites work

• Absolute Estimates for Moments of Certain Boundary Functionals
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• scientific article; zbMATH DE number 1487663 (Why is no real title available?)
• Inequalities for the overshoot
• On Excess Over the Boundary
• On Optimum Methods in Quickest Detection Problems
• On the moments and limit distributions of some first passage times
• Tracking Stopping Times Through Noisy Observations

Cited in

(1)

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

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