An extremal limit theorem for the argmax process of Brownian motion minus a parabolic drift

DOI10.1023/A:1009962823531MaRDI QIDQ1297901zbMATH OpenFDO

Authors Gerard Hooghiemstra, Hendrik P. Lopuhaä

Publication date 14 September 1999

Published in Extremes (Search for Journal in Brave)

zbMATH Keywords

asymptotic distributionBrownian motionextremal valueargmax process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

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Cited in

(10)

• Limit theory in monotone function estimation
• The limit distribution of the \(L_{\infty}\)-error of Grenander-type estimators
• The maximum of Brownian motion with parabolic drift
• An extremum problem for some class of Brownian motions with drifts
• Moderate deviations and nonparametric inference for monotone functions
• The maximum of Brownian motion with parabolic drift (extended abstract)
• On extremes and streams of upcrossing.
• Cramér type moderate deviations for the Grenander estimator near the boundaries of the support
• Asymptotic normality of the \(L_1\) error of the Grenander estimator
• Quantile regression approach to conditional mode estimation

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