Conditional boundary crossing probabilities, with application to change- point problems

DOI10.1214/aop/1176991789zbMath0645.62031OpenAlexW2045943683MaRDI QIDQ1103290

Kang Ling James, David O. Siegmund, Barry R. James

Publication date: 1988

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176991789

zbMATH Keywords

approximate confidence setsconditional boundary crossing probabilitiesnormal change-point problemnull distributions of test statistics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Sequential statistical analysis (62L10)

Related Items (6)

A Note on Signed Rank Tests for the Changepoint Problem ⋮ Uniform convergence of exact large deviations for renewal reward processes ⋮ Approximating the distribution of the maximum partial sum of normal deviates ⋮ On excursion sets, tube formulas and maxima of random fields. ⋮ Quickest detection with exponential penalty for delay ⋮ Bayesian Time Series Analysis of Structural Changes in Level and Trend

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