Boundary crossing probabilities by nondifferentiable processes and applications to two-phase regression (Q1198994)
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English | Boundary crossing probabilities by nondifferentiable processes and applications to two-phase regression |
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Boundary crossing probabilities by nondifferentiable processes and applications to two-phase regression (English)
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16 January 1993
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Let \(X_ 1,X_ 2,\dots,X_ m\) be independent random vectors with mean vector \(\mu\) and covariance matrix \(\Sigma\). Let \(S_ n=X_ 1+X_ 2+\dots+X_ n\), \(1\leq n\leq m\). The author derives an approximation for the following probability: \(P\{\| S_ n+\xi\|>a\) for some \(1\leq n\leq m\}\), where \(a=O(\sqrt{m})\) and \(\xi=O(\sqrt{m})\). Simulations are performed to assess the accuracy of the approximation. The accuracy improves as the sample size increases.
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random walk
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approximation
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likelihood ratio test
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simulations
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