RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
 General information Latest issue Archive Impact factor Search papers Search references RSS Latest issue Current issues Archive issues What is RSS

 Probl. Peredachi Inf.: Year: Volume: Issue: Page: Find

 Probl. Peredachi Inf., 2015, Volume 51, Issue 2, Pages 67–85 (Mi ppi2171)

Methods of Signal Processing

On limit distributions of the time of first passage over a high level

M. V. Burnasheva, G. K. Golubevab

a Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, Russia
b Aix-Marseille Université, Marseille, France

Abstract: We describe a simple method of finding the limit distribution of the time of first passage over a high level for a random sequence (or random process). The method reduces the considered problem to a well-studied problem of finding the distribution of this random sequence (or process) at a certain fixed time. This allows to consider not only traditional sums of independent random variables but also sums of dependent random variables. As examples, sums of independent random variables with stable limit distribution functions, sequential testing of hypotheses, and problems of the first passage over a high level for Gaussian processes with strong dependencies are considered.

Full text: PDF file (246 kB)
References: PDF file   HTML file

English version:
Problems of Information Transmission, 2015, 51:2, 148–164

Bibliographic databases:

UDC: 621.391.1+519.2
Revised: 17.02.2015

Citation: M. V. Burnashev, G. K. Golubev, “On limit distributions of the time of first passage over a high level”, Probl. Peredachi Inf., 51:2 (2015), 67–85; Problems Inform. Transmission, 51:2 (2015), 148–164

Citation in format AMSBIB
\Bibitem{BurGol15} \by M.~V.~Burnashev, G.~K.~Golubev \paper On limit distributions of the time of first passage over a~high level \jour Probl. Peredachi Inf. \yr 2015 \vol 51 \issue 2 \pages 67--85 \mathnet{http://mi.mathnet.ru/ppi2171} \elib{http://elibrary.ru/item.asp?id=24959175} \transl \jour Problems Inform. Transmission \yr 2015 \vol 51 \issue 2 \pages 148--164 \crossref{https://doi.org/10.1134/S0032946015020064} \isi{http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&DestLinkType=FullRecord&DestApp=ALL_WOS&KeyUT=000357472800006} \scopus{http://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84943245428} 

• http://mi.mathnet.ru/eng/ppi2171
• http://mi.mathnet.ru/eng/ppi/v51/i2/p67

 SHARE:

Citing articles on Google Scholar: Russian citations, English citations
Related articles on Google Scholar: Russian articles, English articles

This publication is cited in the following articles:
1. E. V. Burnaev, G. K. Golubev, “On one problem in multichannel signal detection”, Problems Inform. Transmission, 53:4 (2017), 368–380
•  Number of views: This page: 184 Full text: 31 References: 27 First page: 27