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An excursion approach to maxima of the Brownian bridge
Distributions of functionals of Brownian bridge arise as limiting distributions in non-parametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. The idea of rescaling and conditioning on the local...
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| Pubblicato in: | Stoch Process Their Appl |
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| Autori principali: | , |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
2014
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| Soggetti: | |
| Accesso online: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4847753/ https://ncbi.nlm.nih.gov/pubmed/27134338 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.spa.2014.04.008 |
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