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August 2016 Poisson approximation for two scan statistics with rates of convergence
Xiao Fang, David Siegmund
Ann. Appl. Probab. 26(4): 2384-2418 (August 2016). DOI: 10.1214/15-AAP1150

Abstract

As an application of Stein’s method for Poisson approximation, we prove rates of convergence for the tail probabilities of two scan statistics that have been suggested for detecting local signals in sequences of independent random variables subject to possible change-points. Our formulation deals simultaneously with ordinary and with large deviations.

Citation

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Xiao Fang. David Siegmund. "Poisson approximation for two scan statistics with rates of convergence." Ann. Appl. Probab. 26 (4) 2384 - 2418, August 2016. https://doi.org/10.1214/15-AAP1150

Information

Received: 1 March 2014; Revised: 1 May 2015; Published: August 2016
First available in Project Euclid: 1 September 2016

zbMATH: 1352.60032
MathSciNet: MR3543900
Digital Object Identifier: 10.1214/15-AAP1150

Subjects:
Primary: 60F05, 62E20
Secondary: 62L10

Rights: Copyright © 2016 Institute of Mathematical Statistics

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Vol.26 • No. 4 • August 2016
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