Replacing the additive penalty in multiscale scan tests by a multiplicative weighting yields critical values that are asymptotically valid for sub-Gaussian noise, based on a new thresholded weak convergence result.
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At the edge of Donsker's Theorem: Asymptotics of multiscale scan statistics
Replacing the additive penalty in multiscale scan tests by a multiplicative weighting yields critical values that are asymptotically valid for sub-Gaussian noise, based on a new thresholded weak convergence result.