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

Noonan, Jack and Zhigljavsky, Anatoly 2018. Approximations of the boundary crossing probabilities for the maximum of moving weighted sums. Statistical Papers 59 (4) , pp. 1325-1337. 10.1007/s00362-018-1015-z

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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.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Springer Verlag
ISSN: 0932-5026
Date of First Compliant Deposit: 1 June 2018
Date of Acceptance: 1 June 2018
Last Modified: 22 Feb 2019 15:52
URI: http://orca.cf.ac.uk/id/eprint/111898

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