IDEAS home Printed from https://ideas.repec.org/a/spr/metcap/v5y2003i3d10.1023_a1026242019110.html
   My bibliography  Save this article

Asymptotics of a Boundary Crossing Probability of a Brownian Bridge with General Trend

Author

Listed:
  • Wolfgang Bischoff

    (University of Karlsruhe)

  • Frank Miller

    (University of Karlsruhe)

  • Enkelejd Hashorva

    (University of Bern)

  • Jürg Hüsler

    (University of Bern)

Abstract

Let us consider a signal-plus-noise model γh(z)+B 0(z), z ∈ [0,1], where γ > 0, h: [0,1] → ℝ, and B 0 is a Brownian bridge. We establish the asymptotics for the boundary crossing probability of the weighted signal-plus-noise model for γ→∞, that is P (sup zε [0,1] w(z)(γ h(z)+B 0(z))>c), for γ→∞, (1) where w: [0,1]→ [0,∞ is a weight function and c>0 is arbitrary. By the large deviation principle one gets a result with a constant which is the solution of a minimizing problem. In this paper we show an asymptotic expansion that is stronger than large deviation. As byproduct of our result we obtain the solution of the minimizing problem occurring in the large deviation expression. It is worth mentioning that the probability considered in (1) appears as power of the weighted Kolmogorov test applied to the test problem H 0: h≡ 0 against the alternative K: h>0 in the signal-plus-noise model.

Suggested Citation

  • Wolfgang Bischoff & Frank Miller & Enkelejd Hashorva & Jürg Hüsler, 2003. "Asymptotics of a Boundary Crossing Probability of a Brownian Bridge with General Trend," Methodology and Computing in Applied Probability, Springer, vol. 5(3), pages 271-287, September.
    • Handle: RePEc:spr:metcap:v:5:y:2003:i:3:d:10.1023_a:1026242019110
    DOI: 10.1023/A:1026242019110
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1023/A:1026242019110
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1023/A:1026242019110?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hashorva, Enkelejd & Jaworski, Piotr, 2012. "Gaussian approximation of conditional elliptical copulas," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 397-407.
    2. Deng, Pingjin, 2017. "Boundary non-crossing probabilities for Slepian process," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 28-35.
    3. Hashorva, Enkelejd, 2019. "Approximation of some multivariate risk measures for Gaussian risks," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 330-340.
    4. Pingjin Deng, 2016. "The joint distributions of running maximum of a Slepian processes," Papers 1609.04529, arXiv.org.
    5. Pingjin Deng, 2016. "Asymptotic of Non-Crossings probability of Additive Wiener Fields," Papers 1610.07131, arXiv.org.
    6. Pingjin Deng, 2016. "The boundary non-Crossing probabilities for Slepian process," Papers 1608.01133, arXiv.org.
    7. Pingjin Deng, 2018. "The Joint Distribution of Running Maximum of a Slepian Process," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1123-1135, December.
    8. Enkelejd Hashorva, 2010. "Boundary Non-crossings of Brownian Pillow," Journal of Theoretical Probability, Springer, vol. 23(1), pages 193-208, March.
    9. Bischoff, Wolfgang & Hashorva, Enkelejd, 2005. "A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 265-271, October.
    10. Enkelejd Hashorva & Yuliya Mishura & Georgiy Shevchenko, 2021. "Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics," Journal of Theoretical Probability, Springer, vol. 34(2), pages 728-754, June.
    11. E. Hashorva, 2018. "Approximation of Some Multivariate Risk Measures for Gaussian Risks," Papers 1803.06922, arXiv.org, revised Oct 2018.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:5:y:2003:i:3:d:10.1023_a:1026242019110. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.