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

DOI10.1023/A:1023510400300MaRDI QIDQ1398009zbMATH OpenOpenAlexFDO

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

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)

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• 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
• scientific article; zbMATH DE number 1183929 (Why is no real title available?)
• Scan B-statistic for kernel change-point detection
• Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis

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