Tail probabilities for the null distribution of scanning statistics

David Siegmund*, Benjamin Yakir

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

54 Scopus citations

Abstract

This paper is concerned with statistics that scan a multidimensional spatial region to detect a signal against a noisy background. The background is modelled as independent observations from an exponential family of distributions with a known 'null' value of the natural parameter, while the signal is given by independent observations from the same exponential family, but with a different value of the parameter on a particular subregion of the spatial domain. The main result is an extension to multidimensional time of the method of Pollak and Yakir, which relies on a change of measure motivated by change-point analysis, to evaluate approximately the null distribution of the likelihood ratio statistic. Both large-deviation and Poisson approximations are obtained.

Original languageAmerican English
Pages (from-to)191-213
Number of pages23
JournalBernoulli
Volume6
Issue number2
DOIs
StatePublished - 2000
Externally publishedYes

Keywords

  • Change-point
  • Likelihood ratio
  • Scan statistic

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