Boundary non-crossing probabilities for Slepian process
Details
Serval ID
serval:BIB_D654566B5863
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Boundary non-crossing probabilities for Slepian process
Journal
Statistics & Probability Letters
ISSN
0167-7152
Publication state
Published
Issued date
03/2017
Peer-reviewed
Oui
Volume
122
Pages
28-35
Language
english
Abstract
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.
Keywords
Gaussian processes, Slepian processes, Boundary non-crossing probabilities, Piecewise linear boundary
Web of science
Create date
31/01/2017 23:25
Last modification date
21/08/2019 6:13
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