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math.PR2018
Approximating Shepp's constants for the Slepian process
Jack Noonan, Anatoly Zhigljavsky
Slepian process is a stationary Gaussian process with zero mean and covariance For any and , define $F_T(h ) = {\rm Pr}\lef…
math.ST2018
Approximations for the boundary crossing probabilities of moving sums of normal random variables
Jack Noonan, Anatoly Zhigljavsky
In this paper we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem wi…