Displaying similar documents to “Binary segmentation and Bonferroni-type bounds”

Sequential monitoring for change in scale

Ondřej Chochola (2008)

Kybernetika

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We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length m . The goal is to propose a test with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme. ...

Computing the distribution of a linear combination of inverted gamma variables

Viktor Witkovský (2001)

Kybernetika

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A formula for evaluation of the distribution of a linear combination of independent inverted gamma random variables by one-dimensional numerical integration is presented. The formula is direct application of the inversion formula given by Gil–Pelaez [gil-pelaez]. This method is applied to computation of the generalized p -values used for exact significance testing and interval estimation of the parameter of interest in the Behrens–Fisher problem and for variance components in balanced...