Rigorous Computing of Rectangle Scan Probabilities for Markov Increments

Details Rigorous Computing of Rectangle Scan Probabilities for Markov Increments Rigorous Computing of Rectangle Scan Probabilities for Markov Increments

2011-09-15

arxiv.org/abs/1109.3254v1

Statistics

Computation

Scientific paper

Extending recent work of Corrado, we derive an algorithm that computes
rigorous upper and lower bounds for rectangle scan probabilities for Markov
increments. We experimentally examine the closeness of the bounds computed by
the algorithm and we examine the range of tractable input variables.

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