The joint density of two functionals of Brownian motion

MaRDI QIDQ1909017zbMATH OpenFDO

Authors Karim M. Abadir

Publication date 1 August 1996

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

Brownian motiondistribution functionsWiener functionalsLaplace inversionparabolic cylinder and Kummer functions

Mathematics Subject Classification ID

Brownian motion (60J65)

Recommendations

• The limiting distribution of the autocorrelation coefficient under a unit root
• Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
• The limiting density of unit root test statistics: A unifying technique
• Distributions of Functionals of the Brownian Local Time I

Cited in

(3)

• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• On the joint distribution of $ \sup(B_s-\mu s)$ and $ \inf(B_s-\nu s)$ for Brownian motion $ B_s$

This page was built for publication: The joint density of two functionals of Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1909017)