Approximations and inequalities for moving sums (Q1930619)

The authors derive the accurate approximations and inequalities for the distribution, expected stopping time and variance of the stopping time associated with moving sums of independent and identically distributed continuous random variables. The paper is organized as follows. In Section 2, probability inequalities for moving sums are derived. Sections 3 contains results about approximations of the probability of not exceeding a level \(t\) within a block of \(M-m+1\) consecutive moving sums of length \(m\). Approximations and inequalities for the expected time and variance of the time it takes a moving sum of length \(m\) to cross a specified level \(t\) are derived in Sections 4 and 5. In Section 6, some approximations are derived in the case of normal distributed random variables. In the last section, some numerical results are presented and discussed.