Exact asymptotics for Boundary crossings of the brownian bridge with trend with application to the Kolmogorov test

Details

Serval ID
serval:BIB_2048F54529BC
Type
Article: article from journal or magazin.
Collection
Publications
Title
Exact asymptotics for Boundary crossings of the brownian bridge with trend with application to the Kolmogorov test
Journal
Annals of the Institute of Statistical Mathematics
Author(s)
Bischoff W., Hashorva E., Hüsler J., Miller F.
ISSN
0020-3157
1572-9052 ([electronic])
Publication state
Published
Issued date
2003
Peer-reviewed
Oui
Volume
55
Number
4
Pages
849-864
Language
english
Abstract
We consider a boundary crossing probability of a Brownian bridge B-0 and a piecewise linear boundary function u(t) - gammah(t). The main result of this paper is an asymptotic expansion for gamma --> infinity of the boundary crossing probability that B-0(t) is larger than the piecewise linear boundary function u(t) - gammah(t) for some t. Such probabilities occur for instance in the context of change point problems when the Kolmogorov test is used. Examples are discussed showing that the approximation is rather accurate even for small positive gamma values.
Keywords
Brownian bridge with trend, Boundary crossing probability, Exact asymptotics, Extreme values, Large deviations, Kolmogorov test
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Create date
03/09/2010 11:49
Last modification date
20/08/2019 13:56
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