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Approximations for the boundary crossing probabilities of moving sums of normal random variables

Noonan, Jack and Zhigljavsky, Anatoly 2019. Approximations for the boundary crossing probabilities of moving sums of normal random variables. Communications in Statistics - Simulation and Computation 10.1080/03610918.2019.1626889

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Abstract

In this article we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem with a continuous time problem allowing us to apply developed theory for stationary Gaussian processes and to consider a number of approximations (some well known and some not). We bring particular attention to the strong performance of a newly developed approximation that corrects the use of continuous time results in a discrete time setting. Results of extensive numerical comparisons are reported. These results show that the developed approximation is very accurate even for small window length.

Item Type: Article
Date Type: Published Online
Status: In Press
Schools: Mathematics
Publisher: Taylor & Francis
ISSN: 0361-0918
Date of Acceptance: 24 May 2019
Last Modified: 19 Jun 2019 09:45
URI: http://orca.cf.ac.uk/id/eprint/123532

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