期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2006
卷号：68
期号：01
出版社：Indian Statistical Institute
摘要：In this paper we present asymptotic estimates of level crossing probabilities from a Bayesian point of view, based on large deviations. For the Bayesian analysis we choose a finite mixture of conjugate prior distributions to model the uncertainty on the unknown parameters of the two classes of stochastic processes considered: the Brownian motion and the compound Poisson process with upward jumps and negative drift. The estimates of level crossing probabilities are derived as a consequence of large deviation principles for posterior distributions.
