Boundary non-crossing probabilities for Slepian process

Pingjin Deng

Statistics & Probability Letters, 2017, vol. 122, issue C, 28-35

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 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:122:y:2017:i:c:p:28-35

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DOI: 10.1016/j.spl.2016.10.026

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