A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations

DOI10.1214/aoap/1028903449zbMath0937.60082OpenAlexW2047795022MaRDI QIDQ1296603

Benjamin Yakir, Moshe Pollak

Publication date: 23 November 1999

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

Full work available at URL: https://doi.org/10.1214/aoap/1028903449

zbMATH Keywords

time seriesovershootsequential test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Renewal theory (60K05)

Related Items (12)

Likelihood Ratio Identities and Their Applications to Sequential Analysis ⋮ A probabilistic representation of constants in Kesten's renewal theorem ⋮ Detecting simultaneous variant intervals in aligned sequences ⋮ Tail estimates for stochastic fixed point equations via nonlinear renewal theory ⋮ Herbert Robbins and sequential analysis ⋮ Minimax optimality of the Shiryayev-Roberts change-point detection rule ⋮ The distribution of maxima of approximately Gaussian random fields ⋮ Tail Approximations for Maxima of Random Fields by Likelihood Ratio Transformations ⋮ Martingale Type Statistics Applied to Change Points Detection ⋮ Nonanticipating estimation applied to sequential analysis and changepoint detection ⋮ Approximate \(p\)-values for local sequence alignments. ⋮ Multiscale Change Point Inference

Cites Work

• Unnamed Item
• Sequential analysis. Tests and confidence intervals
• Renewal theorem for a class of stationary sequences
• Large deviations for the maxima of some random fields
• Renewal theory for functionals of a Markov chain with general state space
• Importance sampling in the Monte Carlo study of sequential tests
• A note on the run length of false alarm of a change-point detection policy

This page was built for publication: A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations