Author:
Yao Yi-Ching,Wei-Chung Miao Daniel,Chang-Shuo Lin Xenos
Abstract
AbstractThe (conditional or unconditional) distribution of the continuous scan statistic in a one-dimensional Poisson process may be approximated by that of a discrete analogue via time discretization (to be referred to as the discrete approximation). Using a change of measure argument, we derive the first-order term of the discrete approximation which involves some functionals of the Poisson process. Richardson's extrapolation is then applied to yield a corrected (second-order) approximation. Numerical results are presented to compare various approximations.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
1 articles.
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