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Boundary Crossing Probabilities for Scan Statistics and Their Applications to Change-Point Detection

Author

Listed:
  • Hock Peng Chan

    (National University of Singapore)

  • Tze Leung Lai

    (Stanford University)

Abstract

This paper gives a brief review of recent developments in change-point detection and in the associated boundary crossing problems. Making use of saddlepoint approximations for Markov random walks, we give further extensions of a basic result on boundary crossing probabilities, leading to detection procedures that are not too de-manding in computational and memory requirements and yet are nearly optimal under several performance criteria.

Suggested Citation

  • Hock Peng Chan & Tze Leung Lai, 2002. "Boundary Crossing Probabilities for Scan Statistics and Their Applications to Change-Point Detection," Methodology and Computing in Applied Probability, Springer, vol. 4(4), pages 317-336, December.
    • Handle: RePEc:spr:metcap:v:4:y:2002:i:4:d:10.1023_a:1023510400300
    DOI: 10.1023/A:1023510400300
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    References listed on IDEAS

    as
    1. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
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