Adaptive Quantile Computation for Brownian Bridge in Change-Point Analysis

Abstract: As an example for the fast calculation of distributional parameters of Gaussian processes, we propose a new Monte Carlo algorithm for the computation of quantiles of the supremum norm of weighted Brownian bridges. As it is known, the corresponding distributions arise asymptotically for weighted CUSUM statistics for change-point detection. The new algorithm employs an adaptive (sequential) time discretization for the trajectories of the Brownian bridge. A simulation study shows that the new algorithm by far outperforms the standard approach, which employs a uniform time discretization.