Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Adaptive Quantile Computation for Brownian Bridge in Change-Point
  Analysis   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.

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The categories of this paper are: physics
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The categories of this paper are: mtrl-th
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The categories of this paper are: econ
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The categories of this paper are: quant-ph
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The categories of this paper are: math
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The categories of this paper are: eess
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The categories of this paper are: bayes-an
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The categories of this paper are: dg-ga
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The categories of this paper are: ao-sci
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The categories of this paper are: gr-qc
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The categories of this paper are: hep-lat
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The categories of this paper are: q-bio
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The categories of this paper are: atom-ph
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The categories of this paper are: hep-ph
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The categories of this paper are: math-ph
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The categories of this paper are: supr-con