Estimating a Random Walk First-Passage Time From Noisy or Delayed Observations

A Gaussian random walk (or a Wiener process), possibly with drift, is observed in a noisy or delayed fashion. The problem considered in this paper is to estimate the first time τ the random walk reaches a given level. Specifically, the average -moment (p ≥ 1 ) optimization problem inf η E|η - τ| p i...

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Veröffentlicht in:	IEEE transactions on information theory 2012-07, Vol.58 (7), p.4230-4243
Hauptverfasser:	Burnashev, Marat V., Tchamkerten, Aslan
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Bayesian methods Change-point detection problem Density functional theory estimation Estimation error Noise measurement Normal distribution optimal stopping theory Random variables random walk Random walk theory Simulation Stochastic processes stopping time tracking stopping time (TST) Wiener process
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