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Methodology And Computing In Applied Probability

, Volume 5, Issue 3, pp 271–287 | Cite as

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

  • Wolfgang Bischoff
  • Frank Miller
  • Enkelejd Hashorva
  • Jürg Hüsler
Article

Abstract

Let us consider a signal-plus-noise model γh(z)+B0(z), z ∈ [0,1], where γ > 0, h: [0,1] → ℝ, and B0 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 (supzε [0,1]w(z)(γ h(z)+B0(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 H0: h≡ 0 against the alternative K: h>0 in the signal-plus-noise model.

Brownian bridge with trend boundary crossing probability asymptotic results large deviations signal-plus-noise model tests of Kolmogorov type 

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Copyright information

© Kluwer Academic Publishers 2003

Authors and Affiliations

  • Wolfgang Bischoff
    • 1
  • Frank Miller
    • 1
  • Enkelejd Hashorva
    • 2
  • Jürg Hüsler
    • 2
  1. 1.Institut für Mathematische StochastikUniversity of KarlsruheKarlsruheGermany
  2. 2.Institut für Mathematische Statistik und VersicherungslehreUniversity of BernBernSwitzerland

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