Waiting Times of Exceedances in Random Threshold Models

Abstract

Waiting time distributions associated with a sequence of binary trials have been widely Studied and applied in various areas of probability and statistics. In this paper we study simple and compound waiting time random variables associated with random threshold models which make the elements of sequence dependent. The exact distributions are derived and the results are illustrated for random thresholds based on order statistics. (C) 2008 Elsevier B.V. All rights reserved.