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

This article is cited in 1 scientific paper (total in 1 paper)

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.

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

Bibliographic databases:

UDC: 621.391.1+519.2
Received: 05.05.2014
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}


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    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  mathnet  crossref  isi  elib
  • Проблемы передачи информации Problems of Information Transmission
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