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Annals of the Institute of Statistical Mathematics
Scan statistics are commonly used in biology, medicine, engineering and other fields where interest is in the probability of observing clusters of events in a window at an unknown location. Due to the dependent nature of the number of events in a large number of overlapping window locations, even approximate solutions for the simplest scan statistics may require elaborate calculations. We propose a new martingale method which allows one to approximate the distribution for a wide variety of scan statistics, including some for which analytical results are computationally infeasible.
The final publication is available at Springer via http://dx.doi.org/10.1007/BF02506876
Scan, run, pattern, martingale, stopping time
Pozdnyakov, V., Glaz, J., Kulldorff, M., & Steele, J. M. (2005). A Martingale Approach to Scan Statistics. Annals of the Institute of Statistical Mathematics, 57 (1), 21-37. http://dx.doi.org/10.1007/BF02506876
Date Posted: 27 November 2017
This document has been peer reviewed.