538 citations
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Showing 2011 · math.PRShow all
3 papers · 2 filters
math.PR2011★ 1 cited
Non-parametric change-point detection using string matching algorithms
Oliver Johnson, Dino Sejdinovic, James Cruise +2
Given the output of a data source taking values in a finite alphabet, we wish to detect change-points, that is times when the statistical properties of the source change. Motivated…
math.PR2011
Efficient almost-exact Levy area sampling
Simon J. A. Malham, Anke Wiese
We present a new method for sampling the Levy area for a two-dimensional Wiener process conditioned on its endpoints. An efficient sampler for the Levy area is required to implemen…
math.PR2011★ 28 cited
On Large Delays in Multi-Server Queues with Heavy Tails
Sergey Foss, Dmitry Korshunov
We present upper and lower bounds for the tail distribution of the stationary waiting time in the stable FCFS queue. These bounds depend on the value of the traffic l…