Open Journal of Statistics

Volume 4, Issue 2 (February 2014)

ISSN Print: 2161-718X   ISSN Online: 2161-7198

Google-based Impact Factor: 0.53  Citations  

Numerical Procedures for Calculating the Probabilities of Recurrent Runs

HTML  XML Download Download as PDF (Size: 152KB)  PP. 144-153  
DOI: 10.4236/ojs.2014.42014    3,794 Downloads   5,368 Views  
Author(s)

ABSTRACT

Run count statistics serve a central role in tests of non-randomness of stochastic processes of interest to a wide range of disciplines within the physical sciences, social sciences, business and finance, and other endeavors involving intrinsic uncertainty. To carry out such tests, it is often necessary to calculate two kinds of run count probabilities: 1) the probability that a certain number of trials results in a specified multiple occurrence of an event, or 2) the probability that a specified number of occurrences of an event take place within a fixed number of trials. The use of appropriate generating functions provides a systematic procedure for obtaining the distribution functions of these probabilities. This paper examines relationships among the generating functions applicable to recurrent runs and discusses methods, employing symbolic mathematical software, for implementing numerical extraction of probabilities. In addition, the asymptotic form of the cumulative distribution function is derived, which allows accurate runs statistics to be obtained for sequences of trials so large that computation times for extraction of this information from the generating functions could be impractically long.

Share and Cite:

M. Silverman, "Numerical Procedures for Calculating the Probabilities of Recurrent Runs," Open Journal of Statistics, Vol. 4 No. 2, 2014, pp. 144-153. doi: 10.4236/ojs.2014.42014.

Cited by

No relevant information.

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.