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

被引：0

作者：

Noonan, Jack ^{[1
]}

Zhigljavsky, Anatoly ^{[1
]}

机构：

[1] Cardiff Univ, Sch Math, Cardiff CF24 4AG, S Glam, Wales

来源：

STATISTICAL PAPERS | 2018年 / 59卷 / 04期

基金：

英国工程与自然科学研究理事会;

关键词：

Moving weighted sum; Boundary crossing probability; Moving weighted sum of squares; Change-point detection; Singular spectrum analysis;

D O I：

10.1007/s00362-018-1015-z

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study approximations of boundary crossing probabilities for the maximum of moving weighted sums of i.i.d. random variables. We consider a particular case of weights obtained from a trapezoidal weight function which, under certain parameter choices, can also result in an unweighted sum. We demonstrate that the approximations based on classical results of extreme value theory provide some scope for improvement, particularly for a range of values required in practical applications.

引用

页码：1325 / 1337

页数：13

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