Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154960 | Statistics & Probability Letters | 2011 | 8 Pages |
Abstract
The limit behaviour of scan statistics in a form of maxima of moving sum processes with changing window size for detecting a transient change is studied. Approximate critical values obtained from tail behaviour of the limit variables that are maxima of some locally homogeneous Gaussian fields are compared with critical values obtained by simulation.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Daniela Jarušková, Vladimir I. Piterbarg,