This article describes a new Monte Carlo method for the evaluation of the orthant probabilities by sampling first passage times of a non-singular Gaussian discrete time-series across an absorbing boundary. This procedure makes use of a simulation of several time-series sample paths, aiming to record their first crossing instants. Thus, the computation of the orthant probabilities is traced back to the accurate simulation of a non-singular Gaussian discrete-time series. Moreover, if the simulation is also efficient, this method is shown to be more speedy than the others proposed in the literature. As example, we make use of the Davies-Harte algorithm in the evaluation of the orthant probabilities associated to the ARFIMA$(0,d,0)$ model. Test results are presented that compare this method with currently available software.
翻译:本文介绍了一种新的蒙特卡洛方法,用于评估非单质高斯离散时间序列在吸收边界上的第一次通过时间序列的概率。此程序使用若干时间序列样本路径的模拟,目的是记录其第一次穿越时数。因此,对非单质高斯离散时间序列的概率的计算可追溯到非单质高斯离散时间序列的准确模拟。此外,如果模拟也有效,则该方法比文献中建议的其他方法更快。例如,我们在评估与ARFIMA$(0,d,0美元)模型相关的概率时,使用Davies-Harte算法。测试结果将这种方法与现有软件进行比较。