On the supremum of a Brownian bridge standardized by its maximizing point with applications to statistics

DOI10.1016/j.spl.2017.10.008zbMath1428.60116OpenAlexW2766346531MaRDI QIDQ1698248

Dietmar Ferger

Publication date: 15 February 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.10.008

zbMATH Keywords

change-point analysisrandom weightsmaximum and maximizer of Brownian bridgetied down sums

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Exact and asymptotic goodness-of-fit tests based on the maximum and its location of the empirical process ⋮ Testing and estimating change-points in the covariance matrix of a high-dimensional time series

Cites Work

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• The asymptotic distribution of the supremum of the standardized empirical distribution function on subintervals
• Foundations of Modern Probability
• The joint distribution of the running maximum and its location of D-valued Markov processes
• Analysis of change-point estimators under the null hypothesis

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