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

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