A multiple window scan statistic for time series models

DOI10.1016/j.spl.2014.07.025zbMath1333.62052OpenAlexW2005273794MaRDI QIDQ467023

Bo Zhao, Joseph Glaz, Xiao Wang

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.07.025

zbMATH Keywords

Gaussian white noiseARMA modelsminimum \(P\)-value statisticmoving summultiple window scanning

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (4)

Scan statistics for detecting a local change in variance for normal data with unknown population variance ⋮ Using scan statistics for cluster detection: recognizing real bandwagons ⋮ Scan statistics for normal data with outliers ⋮ Approximations for the boundary crossing probabilities of moving sums of random variables

Uses Software

• R

Cites Work

• Unnamed Item
• One dimensional scan statistics generated by some dependent stationary sequences
• Computation of multivariate normal and \(t\) probabilities
• Approximations and inequalities for moving sums
• Variable Window Scan Statistics for Normal Data

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