Approximations for the boundary crossing probabilities of moving sums of random variables

DOI10.1007/s11009-019-09769-7zbMath1473.60074arXiv1907.08201OpenAlexW3020894727MaRDI QIDQ2241630

Jack Noonan, Anatoly A. Zhigljavsky

Publication date: 9 November 2021

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

Full work available at URL: https://arxiv.org/abs/1907.08201

zbMATH Keywords

boundary crossing probabilitychange-point detectionmoving summoving sum of normal

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic approximation (62L20)

Related Items (2)

Detecting an intermittent change of unknown duration ⋮ Power of the MOSUM test for online detection of a transient change in mean

Uses Software

• mvtnorm

Cites Work

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