Boundary Crossing Probabilities for Scan Statistics and Their Applications to Change-Point Detection

Hock Peng Chan and Tze Leung Lai
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Hock Peng Chan: National University of Singapore
Tze Leung Lai: Stanford University

Methodology and Computing in Applied Probability, 2002, vol. 4, issue 4, 317-336

Abstract: Abstract This paper gives a brief review of recent developments in change-point detection and in the associated boundary crossing problems. Making use of saddlepoint approximations for Markov random walks, we give further extensions of a basic result on boundary crossing probabilities, leading to detection procedures that are not too de-manding in computational and memory requirements and yet are nearly optimal under several performance criteria.

Keywords: Markov additive process; moving averages; large deviations; saddlepoint approximations; importance sampling (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1023510400300

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