Boundary crossing probabilities for the cumulative sample mean
| dc.contributor.author | Singham, Dashi I. | |
| dc.contributor.author | Atkinson, Michael P. | |
| dc.contributor.corporate | Naval Postgraduate School (U.S.) | |
| dc.contributor.department | Operations Research (OR) | |
| dc.date | 2018 | |
| dc.date.accessioned | 2017-02-08T19:00:19Z | |
| dc.date.available | 2017-02-08T19:00:19Z | |
| dc.date.issued | 2018 | |
| dc.description | The article of record may be found at https://doi.org/10.1017/S026996481700002X | |
| dc.description.abstract | We develop a new measure of reliability for the mean behavior of a process by calculating the probability the cumulative sample mean will stay within a given distance from the true mean over a period of time. This probability is derived using boundary-crossing properties of Brownian bridges. We derive finite sample results for independent and identically dis- tributed normal data, limiting results for data meeting a functional central limit theorem, and draw parallels to standard normal confidence intervals. We deliver numerical results for i.i.d., dependent, and queueing processes. | en_US |
| dc.identifier.citation | Singham, Dashi I., and Michael P. Atkinson. "Boundary crossing probabilities for the cumulative sample mean." Probability in the Engineering and Informational Sciences 32.2 (2018): 275-295. doi:10.1017/S026996481700002X | |
| dc.identifier.uri | https://hdl.handle.net/10945/51537 | |
| dc.language.iso | en_US | |
| dc.rights | This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States. | en_US |
| dc.subject.author | applied probability | |
| dc.subject.author | reliability theory | |
| dc.subject.author | simulation | |
| dc.subject.author | brownian bridge | |
| dc.subject.author | Brownian bridge | en_US |
| dc.subject.author | reliability | en_US |
| dc.title | Boundary crossing probabilities for the cumulative sample mean | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication |
