Efficient computation of the stochastic behavior of partial sum processes

Sorawit Saengkyongam, Anthony Hayter, Seksan Kiatsupaibul () and Wei Liu
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Sorawit Saengkyongam: Chulalongkorn University
Anthony Hayter: University of Denver
Seksan Kiatsupaibul: Chulalongkorn University
Wei Liu: University of Southampton

Computational Statistics, 2020, vol. 35, issue 1, No 20, 343-358

Abstract: 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 implementation of this methodology, with the adoption of Fast Fourier Transforms, are discussed.

Keywords: Partial sums; Recursive computations; Conditional probability; Reliability; Product quality assessment; Stochastic control (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00180-019-00920-z

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