Approximations for weighted Kolmogorov-Smirnov distributions via boundary crossing probabilities

نویسندگان

  • Nino Kordzakhia
  • Alexander Novikov
  • Bernard Ycart
چکیده

A statistical application to Gene Set Enrichment Analysis implies calculating the distribution of themaximum of a certain Gaussian process, which is a modification of the standard Brownian bridge. Using the transformation into a boundary crossing problem for the Brownian motion and a piecewise linear boundary, it is proved that the desired distribution can be approximated by an n-dimensional Gaussian integral. Fast approximations are defined and validated by Monte Carlo simulation. The performance of the method for the genomics application is discussed.

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عنوان ژورنال:
  • Statistics and Computing

دوره 27  شماره 

صفحات  -

تاریخ انتشار 2017