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

被引：0

作者：

Jack Noonan

Anatoly Zhigljavsky

机构：

[1] Cardiff University,School of Mathematics

来源：

Statistical Papers | 2018年 / 59卷

关键词：

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

D O I：

暂无

中图分类号：

学科分类号：

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：12

共 20 条

[1] Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
Noonan, Jack
Zhigljavsky, Anatoly
STATISTICAL PAPERS, 2018, 59 (04) : 1325 - 1337
[2] Approximations for the Boundary Crossing Probabilities of Moving Sums of Random Variables
Noonan, Jack
Zhigljavsky, Anatoly
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2021, 23 (03) : 873 - 892
[3] Approximations for the Boundary Crossing Probabilities of Moving Sums of Random Variables
Jack Noonan
Anatoly Zhigljavsky
Methodology and Computing in Applied Probability, 2021, 23 : 873 - 892
[4] Approximations for the boundary crossing probabilities of moving sums of normal random variables
Noonan, Jack
Zhigljavsky, Anatoly
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2021, 50 (11) : 3547 - 3568
[5] Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
Chan, HP
Lai, TL
ANNALS OF PROBABILITY, 2006, 34 (01) : 80 - 121
[6] Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks
Chan, HP
Lai, TL
ANNALS OF APPLIED PROBABILITY, 2003, 13 (02) : 395 - 429
[7] On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
Liang, Vincent
Borovkov, Konstantin
JOURNAL OF APPLIED PROBABILITY, 2023, 60 (04) : 1386 - 1415
[8] Sensitivity of boundary crossing probabilities of the Brownian motion
Guer, Sercan
Poetzelberger, Klaus
MONTE CARLO METHODS AND APPLICATIONS, 2019, 25 (01) : 75 - 83
[9] STOCHASTIC BOUNDARY CROSSING PROBABILITIES FOR THE BROWNIAN MOTION
Che, Xiaonan
Dassios, Angelos
JOURNAL OF APPLIED PROBABILITY, 2013, 50 (02) : 419 - 429
[10] BOUNDARY CROSSING PROBABILITIES FOR HIGH-DIMENSIONAL BROWNIAN MOTION
Fu, James C.
Wu, Tung-Lung
JOURNAL OF APPLIED PROBABILITY, 2016, 53 (02) : 543 - 553

← 1 2 →