Stochastic Equivalence of Gaussian Process to the Wiener Process, Brownian Bridge, Ornstein–Uhlenbeck Process
نویسندگان
چکیده
منابع مشابه
Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process
Investigation of asymptotic properties of a statistical estimator or of a testing statistic often leads to a linear transformation of a Wiener process that born a Wiener process or a Brownian bridge. Let us recall some typical examples of such transformations. Provided a Wiener process (W(t) , £ > 0) the processes (^W(a • t) ,t > 0), a T-: 0 and (tW(\) , £ > 0) are Wiener processes and (W(t) tW...
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A classical limit theorem of stochastic process theory concerns the sample cumulative distribution function (CDF) from independent random variables. If the variables are uniformly distributed then these centered CDFs converge in a suitable sense to the sample paths of a Brownian Bridge. The so-called Hungarian construction of Komlos, Major and Tusnady provides a strong form of this result. In t...
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ژورنال
عنوان ژورنال: Research Bulletin of the National Technical University of Ukraine "Kyiv Polytechnic Institute"
سال: 2016
ISSN: 1810-0546
DOI: 10.20535/1810-0546.2016.4.67024