Fast calculation of boundary crossing probabilities for Poisson processes

DOI10.1016/J.SPL.2016.11.027zbMATH Open1416.60055arXiv1503.04363OpenAlexW14801917WikidataQ62111494 ScholiaQ62111494MaRDI QIDQ511580FDOQ511580

Authors: Amit Moscovich, Boaz Nadler 

Publication date: 21 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: The boundary crossing probability of a Poisson process with $n$ jumps is a fundamental quantity with numerous applications. We present a fast $O(n^{2}logn)$ algorithm to calculate this probability for arbitrary upper and lower boundaries.

Full work available at URL: https://arxiv.org/abs/1503.04363

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zbMATH Keywords

empirical processBrownian motionPoisson processboundary crossinggoodness of fitfirst passage

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited In (9)

• Comparing distributions by multiple testing across quantiles or CDF values
• Fast calculation of p-values for one-sided Kolmogorov-Smirnov type statistics
• On the exact Berk-Jones statistics and their \(p\)-value calculation
• On double-boundary non-crossing probability for a class of compound processes with applications
• Intermediate efficiency of some weighted goodness-of-fit statistics
• Genetic variant set-based tests using the generalized Berk-Jones statistic with application to a genome-wide association study of breast cancer
• Efficient calculation of the joint distribution of order statistics
• Calculation of noncrossing probabilities for Poisson processes and its corollaries.
• Exceedance control of the false discovery proportion via high precision inversion method of berk-Jones statistics

Uses Software

• FFTW

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