Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks

DOI10.1214/AOAP/1050689586zbMATH Open1029.60058OpenAlexW1985826484MaRDI QIDQ1413670FDOQ1413670

Authors: Hock Peng Chan, Tze Leung Lai 

Publication date: 17 November 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1050689586

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zbMATH Keywords

change-point detectionlarge deviationMarkov additive processesmaxima of random fields

Mathematics Subject Classification ID

Large deviations (60F10) Random fields (60G60) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (13)

• Boundary crossing probabilities for scan statistics and their applications to change-point detec\-tion
• Likelihood Ratio Identities and Their Applications to Sequential Analysis
• Saddlepoint approximations and boundary crossing probabilities for random fields and their applications
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• A sequential Monte Carlo approach to computing tail probabilities in stochastic models
• Sequential change-point detection when the pre- and post-change parameters are unknown
• The stationary tail asymptotics in the GI/G/1-type queue with countably many background states
• Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
• Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift
• A Bayesian Approach to Sequential Surveillance in Exponential Families
• Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis
• Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund
• Discussion on “Sequential detection/isolation of abrupt changes” by Igor V. Nikiforov

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