Boundary non-crossing probabilities for Slepian process

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• 作者：Pingjin Deng ; ^{Pingjin.Deng@unil.ch}
• 关键词：Gaussian processes ; Slepian processes ; Boundary non-crossing probabilities ; Piecewise linear boundary
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：122
• 期：Complete
• 页码：28-35
• 全文大小：409 K
• 卷排序：122

文摘

In this contribution we derive an explicit formula for the boundary non-crossing probability of Slepian processes associated with a continuous piecewise linear boundary function. Furthermore, we use this formula to develop an approximation result to the boundary non-crossing probability for general continuous boundaries.