Approximations of the boundary crossing probabilities for the maximum of moving weighted sums

DOI10.1007/s00362-018-1015-zzbMath1408.62150OpenAlexW2809075763MaRDI QIDQ1757244

Jack Noonan, Anatoly A. Zhigljavsky

Publication date: 3 January 2019

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-1015-z

zbMATH Keywords

boundary crossing probabilitychange-point detectionsingular spectrum analysismoving weighted summoving weighted sum of squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

First passage times for Slepian process with linear and piecewise linear barriers ⋮ Scan statistics for normal data with outliers ⋮ Approximating Shepp's constants for the Slepian process

Uses Software

• CaterpillarSSA

Cites Work

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• Singular spectrum analysis for time series.
• Extremes and related properties of random sequences and processes
• The first-passage density of a continuous gaussian process to a general boundary
• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection

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