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Estimating a gaussian random walk first-passage time from noisy or delayed observations

  • Institute for Information Transmission Problems (RAS)

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Given a Gaussian random walk X with drift, we consider estimating its first-passage time , of a given level l, with a stopping time defined over an observation process Y that is either a noisy version of X, or a delayed version of X. For both cases, we provide lower bounds on average moments E|ν-T p, p≥ 1, for any stopping rule ν , and exhibit simple stopping rules that achieve these bounds in the large threshold regime and in the large threshold large delay regime, respectively. The results immediately extend to the corresponding continuous time settings where X and Y are standard Wiener processes with drift.

Original languageEnglish
Title of host publication2011 IEEE International Symposium on Information Theory Proceedings, ISIT 2011
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1594-1597
Number of pages4
ISBN (Print)9781457705953
DOIs
Publication statusPublished - 1 Jan 2011
Event2011 IEEE International Symposium on Information Theory, ISIT 2011 - St. Petersburg, Russian Federation
Duration: 31 Jul 20115 Aug 2011

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095
ISSN (Electronic)2157-8117

Conference

Conference2011 IEEE International Symposium on Information Theory, ISIT 2011
Country/TerritoryRussian Federation
CitySt. Petersburg
Period31/07/115/08/11

Keywords

  • Estimation
  • Hypothesis Testingz
  • Optimal Stopping Theory
  • Stopping Times

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