Approximations for the boundary crossing probabilities of moving sums of normal random variables

DOI10.1080/03610918.2019.1626889zbMath1492.60126arXiv1810.09229OpenAlexW2950326775WikidataQ127664876 ScholiaQ127664876MaRDI QIDQ5082796

Jack Noonan, Anatoly A. Zhigljavsky

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.09229

zbMATH Keywords

boundary crossing probabilitychange-point detectionmoving summoving sum of normal

Mathematics Subject Classification ID

Gaussian processes (60G15) Sums of independent random variables; random walks (60G50)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Scan statistics. Methods and applications. In honor of Joseph Naus's seventieth birthday
• Computation of multivariate normal and \(t\) probabilities
• Sequential analysis. Tests and confidence intervals
• Boundary crossing probabilities and statistical applications
• Probability approximations via the Poisson clumping heuristic
• Approximations and inequalities for moving sums
• The first-passage density of a continuous gaussian process to a general boundary
• Computational Methods for Integral Equations
• Boundary crossing for moving sums
• First-passage time for a particular stationary periodic Gaussian process
• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection
• MOSUM tests for parameter constancy
• Radon-Nikodym Derivatives of Gaussian Measures
• First Passage Time for a Particular Gaussian Process