POISSON APPROXIMATION FOR TWO SCAN STATISTICS WITH RATES OF CONVERGENCE

被引：2

作者：

Fang, Xiao ^{[1
]}

Siegmund, David ^{[2
]}

机构：

[1] Natl Univ Singapore, Dept Stat & Appl Probabil, 6 Sci Dr 2, Singapore 117546, Singapore

[2] Stanford Univ, Dept Stat, Sequoia Hall 390 Serra Mall, Stanford, CA 94305 USA

来源：

ANNALS OF APPLIED PROBABILITY | 2016年 / 26卷 / 04期

基金：

美国国家科学基金会;

关键词：

Stein's method; Poisson approximation; total variation distance; relative error; rate of convergence; scan statistics; change-point analysis; exponential family; TAIL PROBABILITIES; SEQUENCES;

D O I：

10.1214/15-AAP1150

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：

As an application of Stein's method for Poisson approximation, we prove rates of convergence for the tail probabilities of two scan statistics that have been suggested for detecting local signals in sequences of independent random variables subject to possible change-points. Our formulation deals simultaneously with ordinary and with large deviations.

引用

页码：2384 / 2418

页数：35

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