An excursion approach to maxima of the Brownian bridge.
نویسندگان
چکیده
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 time has been used widely in the literature. In this paper it is used to give a unified derivation of a number of known distributions, and a few new ones. Particular cases of calculations include the distribution of the Kolmogorov-Smirnov statistic and the Kuiper statistic.
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ورودعنوان ژورنال:
- Stochastic processes and their applications
دوره 124 شماره
صفحات -
تاریخ انتشار 2014