Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
type: Item
instance of: scholarly article
title: Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
zbMATH Open document ID: 1408.62150
author: Jack Noonan
author: A. Zhigljavsky
published in: Statistical Papers
publication date: 2019-01-03T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 60G70
zbMATH DE Number: 6997285
zbMATH Keywords: moving weighted sum
zbMATH Keywords: boundary crossing probability
zbMATH Keywords: moving weighted sum of squares
zbMATH Keywords: change-point detection
zbMATH Keywords: singular spectrum analysis
describes a project that uses: CaterpillarSSA
MaRDI profile type: Publication
full work available at URL: s00362-018-1015-z
OpenAlex ID: W2809075763
cites work: Q5512475
cites work: The first-passage density of a continuous gaussian process to a general boundary
cites work: Singular spectrum analysis for time series.
cites work: Analysis of time series structure. SSA and related techniques
cites work: Extremes and related properties of random sequences and processes
cites work: An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection
cites work: Q3323077
DOI: 10.1007/S00362-018-1015-Z
description: scientific article; zbMATH DE number 6997285