Boundary crossing probabilities for scan statistics and their applications to change-point detec\-tion

DOI10.1023/A:1023510400300zbMath1037.60021OpenAlexW70227274MaRDI QIDQ1398009

Hock Peng Chan, Tze Leung Lai

Publication date: 6 August 2003

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1023510400300

zbMATH Keywords

importance samplinglarge deviationsmoving averagessaddlepoint approximationsMarkov additive process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10) Sequential statistical analysis (62L10)

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