Approximations and inequalities for moving sums

DOI10.1007/S11009-011-9251-XMaRDI QIDQ1930619zbMATH OpenOpenAlexFDO

Authors Joseph Glaz, Xiao Wang, Joseph Naus

Publication date 11 January 2013

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

Full work available at URL https://doi.org/10.1007/s11009-011-9251-x

zbMATH Keywords

scan statisticsstopping timeapproximationmultivariate normalprobability inequalitymoving sum\(R\) algorithmsmultivariate \(T\)

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Approximations to statistical distributions (nonasymptotic) (62E17) Non-Markovian processes: hypothesis testing (62M07) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3965289 (Why is no real title available?)
• An Extension of the MOSUM Technique for Quality Control
• Approximations for Distributions of Scan Statistics
• Association of Random Variables, with Applications
• Boundary crossing for moving sums
• Computation of multivariate normal and \(t\) probabilities
• Control charts based on weighted sums
• Estimating the distribution of one-dimensional discrete scan statistics viewed as extremes of 1-dependent stationary sequences
• First passage time for some stationary processes
• MOSUM tests for parameter constancy
• Maxima of moving sums in a Poisson random field
• Monitoring Structural Changes in Generalized Linear Models
• Poisson approximation using the Stein-Chen method and coupling: Number of exceedances of Gaussian random variables
• Scan statistics
• The Use of MOSUMS for Quality Control
• Tight bounds and approximations for scan statistic probabilities for discrete data

Cited in

(11)

• Scan statistics for detecting a local change in variance for normal data with unknown population variance
• Scan statistics for detecting a local change in variance for normal data with known variance
• One dimensional scan statistics generated by some dependent stationary sequences
• Approximations for the boundary crossing probabilities of moving sums of random variables
• Variable window scan statistics for normal data
• A multiple window scan statistic for time series models
• Scan statistics for normal data with outliers
• Robust scan statistics for detecting a local change in population mean for normal data
• Scan statistic tail probability assessment based on process covariance and window size
• Approximations for the boundary crossing probabilities of moving sums of normal random variables
• Boundary crossing for moving sums

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