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

DOI10.1080/03610918.2019.1626889MaRDI QIDQ5082796zbMATH OpenOpenAlexWikidataFDO

Authors Jack Noonan, A. Zhigljavsky

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.09229

zbMATH Keywords

boundary crossing probabilitychange-point detectionmoving summoving sum of normal

Mathematics Subject Classification ID

Gaussian processes (60G15) Sums of independent random variables; random walks (60G50)

Abstract: In this paper we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem with a continuous time problem allowing us to apply developed theory for stationary Gaussian processes and to consider a number of approximations (some well known and some not). We bring particular attention to the strong performance of a newly developed approximation that corrects the use of continuous time results in a discrete time setting. Results of extensive numerical comparisons are reported. These results show that the developed approximation is very accurate even for small window length.

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Cited in

(7)

• Boundary crossing random variables related to quantile convergence
• Boundary crossing probabilities by nondifferentiable processes and applications to two-phase regression
• Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
• Approximations for the boundary crossing probabilities of moving sums of random variables
• Approximating boundary crosing probabilities with applications to sequential tests
• Boundary crossing for moving sums
• Estimating Durbin's approximation

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