Approximations of the boundary crossing probabilities for the maximum of moving weighted sums

Jack Noonan () and Anatoly Zhigljavsky ()
Additional contact information
Jack Noonan: Cardiff University
Anatoly Zhigljavsky: Cardiff University

Statistical Papers, 2018, vol. 59, issue 4, No 4, 1325-1337

Abstract: Abstract We study approximations of boundary crossing probabilities for the maximum of moving weighted sums of i.i.d. random variables. We consider a particular case of weights obtained from a trapezoidal weight function which, under certain parameter choices, can also result in an unweighted sum. We demonstrate that the approximations based on classical results of extreme value theory provide some scope for improvement, particularly for a range of values required in practical applications.

Keywords: Moving weighted sum; Boundary crossing probability; Moving weighted sum of squares; Change-point detection; Singular spectrum analysis (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00362-018-1015-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:59:y:2018:i:4:d:10.1007_s00362-018-1015-z

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-018-1015-z

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().