Martingale Methods

Vladimir Pozdnyakov () and J. Michael Steele ()
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Vladimir Pozdnyakov: University of Connecticut, Department of Statistics
J. Michael Steele: University of Pennsylvania, Department of Statistics, The Wharton School

Chapter 14 in Handbook of Scan Statistics, 2024, pp 247-274 from Springer

Abstract: Abstract We survey the ways that martingales and the method of gambling teams can be used to obtain otherwise hard-to-get information for the moments and distributions of waiting times for the occurrence of simple or compound patterns in an independent or a Markov sequence. We also survey how such methods can be used to provide moments and distribution approximations for a variety of scan statistics, including variable length scan statistics. Each of the general problems considered here is accompanied by one or more concrete examples that illustrate the computational tractability of the methods.

Keywords: Scanscan; Patternpattern; Martingalemartingale; Waiting timewaiting time; Gambling teamsgambling teams; Shifted exponential distributionshifted exponential distribution (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8033-4_10

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DOI: 10.1007/978-1-4614-8033-4_10

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