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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...
Tallennettuna:
| Julkaisussa: | Stoch Process Their Appl |
|---|---|
| Päätekijät: | , |
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
2014
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| Aiheet: | |
| Linkit: | 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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