Poisson approximation for two scan statistics with rates of convergence

DOI10.1214/15-AAP1150MaRDI QIDQ341620zbMATH OpenFDO

Authors Xiao Fang, David Siegmund

Publication date 16 November 2016

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.4692, https://projecteuclid.org/euclid.aoap/1472745462

zbMATH Keywords

change-point analysisconvergence rateexponential familylarge deviationsPoisson approximationrelative errorscan statisticsStein's methodtotal variation distance

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Sequential statistical analysis (62L10)

Abstract: 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.

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