Bounding the risk probability

DOI10.1007/978-3-319-66836-9_12MaRDI QIDQ3305442zbMATH OpenOpenAlexFDO

Authors Igor Nikiforov

Publication date 7 August 2020

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-66836-9_12

zbMATH Keywords

autoregressive processdistribution boundingnumerical integrationrisk probability

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

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Cites work

• A First Passage Problem for the Wiener Process
• A Simple Method for Studying Run-Length Distributions of Exponentially Weighted Moving Average Charts
• Average Run Lengths of Geometric Moving Average Charts by Numerical Methods
• Detection of abrupt changes: theory and application
• scientific article; zbMATH DE number 4151536 (Why is no real title available?)
• scientific article; zbMATH DE number 6765496 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3045589 (Why is no real title available?)
• scientific article; zbMATH DE number 3058319 (Why is no real title available?)
• scientific article; zbMATH DE number 3093741 (Why is no real title available?)
• Martingales and first passage times of AR(1) sequences
• Reliable detection of faults in measurement systems
• Sequential detection of transient changes

Cited in

(3)

• Safe probability
• Avoiding zero probability events when computing value at risk contributions
• Risk overbounding for a linear model

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