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Conservative bounds in a certain first-passage-problem

Abstract : The goal is to calculate the probability that a discrete time autoregressive process (scalar or vector) leaves a given interval (domain) at least once during a certain period T. The distributions of the innovation process and the initial state are unknown but some special bounds for the cumulative distribution functions and/or for the probability density functions are available. Numerical methods to calculate the conservative bounds for the above-mentioned probability are considered. Such bounds can be useful in sequential change detection problem and also for risk estimation in some safety-critical applications.
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Submitted on : Monday, June 29, 2020 - 4:31:37 PM
Last modification on : Friday, August 27, 2021 - 3:14:06 PM


  • HAL Id : hal-02884112, version 1




Igor Nikiforov. Conservative bounds in a certain first-passage-problem. 9th International Workshop on Applied Probability (IWAP 2018), Jun 2018, Budapest, Hungary. ⟨hal-02884112⟩



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