Rigorous Computing of Rectangle Scan Probabilities for Markov Increments
Computation
2011-09-16 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1109.3254,
title = {Rigorous Computing of Rectangle Scan Probabilities for Markov Increments},
author = {Jannis Dimitriadis},
journal= {arXiv preprint arXiv:1109.3254},
year = {2011}
}