Efficient computation of the stochastic behavior of partial sum processes

DOI10.1007/S00180-019-00920-ZMaRDI QIDQ2184415zbMATH OpenOpenAlexWikidataFDO

Authors Sorawit Saengkyongam, Seksan Kiatsupaibul, Wei Liu, Anthony J. Hayter

Publication date 28 May 2020

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.04712, https://eprints.soton.ac.uk/434758/1/Efficient_Computation.pdf

zbMATH Keywords

conditional probabilitypartial sumsproduct quality assessmentrecursive computationsreliabilitystochastic control

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: In this paper the computational aspects of probability calculations for dynamical partial sum expressions are discussed. Such dynamical partial sum expressions have many important applications, and examples are provided in the fields of reliability, product quality assessment, and stochastic control. While these probability calculations are ostensibly of a high dimension, and consequently intractable in general, it is shown how a recursive integration methodology can be implemented to obtain exact calculations as a series of two-dimensional calculations. The computational aspects of the implementaion of this methodology, with the adoption of Fast Fourier Transforms, are discussed.

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Cited in

(2)

• Efficient simulation of tail probabilities of sums of dependent random variables
• Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes

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Uses Software

• SciPy

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