Boundary crossing probabilities for scan statistics and their applications to change-point detec\-tion

DOI10.1023/A:1023510400300zbMATH Open1037.60021OpenAlexW70227274MaRDI QIDQ1398009FDOQ1398009

Authors: Hock Peng Chan, Tze Leung Lai 

Publication date: 6 August 2003

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1023510400300

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• scientific article; zbMATH DE number 1057887

zbMATH Keywords

importance samplinglarge deviationssaddlepoint approximationsMarkov additive processmoving averages

Mathematics Subject Classification ID

Large deviations (60F10) Sequential statistical analysis (62L10) Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (7)

• Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks
• Likelihood Ratio Identities and Their Applications to Sequential Analysis
• Log-likelihood ratio test for detecting transient change
• A weighted \(\chi^2\) test to detect the presence of a major change point in non-stationary Markov chains
• Title not available (Why is that?)
• Scan B-statistic for kernel change-point detection
• Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis

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