Noonan, Jack and Zhigljavsky, Anatoly ORCID: https://orcid.org/0000-0003-0630-8279 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 |
Preview |
PDF
- Published Version
Available under License Creative Commons Attribution. Download (974kB) | Preview |
Official URL: https://doi.org/10.1007/s00362-018-1015-z
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: | 05 May 2023 13:31 |
URI: | https://orca.cardiff.ac.uk/id/eprint/111898 |
Actions (repository staff only)
Edit Item |