Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks

Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks

10.1214/aoap/1050689586

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Bibliographic Details
Main Authors: Chan, H.P., Lai, T.L.
Other Authors: STATISTICS & APPLIED PROBABILITY
Published: 2014
Subjects:
Change-point detection
Integrals over tubes
Laplace's method
Large deviation
Markov additive processes
Maxima of random fields
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105344
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/105344

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