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stat.CO2020★ 10 cited
Fast calculation of p-values for one-sided Kolmogorov-Smirnov type statistics
Amit Moscovich
A novel method for computing exact p-values of one-sided statistics from the Kolmogorov-Smirnov family is presented. It covers the Higher Criticism statistic, one-sided weighted Ko…
stat.CO2015★ 17 cited
Fast calculation of boundary crossing probabilities for Poisson processes
Amit Moscovich, Boaz Nadler
The boundary crossing probability of a Poisson process with jumps is a fundamental quantity with numerous applications. We present a fast algorithm to calculate…