A month carlo approximation of the distributions of the maximum of various brownjan bridges

DOI10.1080/03610928808829880zbMATH Open0696.62053OpenAlexW2010072290MaRDI QIDQ3473022FDOQ3473022

Authors:

Publication date: 1988

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928808829880

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zbMATH Keywords

Monte CarloBrownian bridgeTablessupremum distributions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Statistical tables (62Q05)

Cites Work

• Approximation Theorems of Mathematical Statistics
• On the residuals of autoregressive processes and polynomial regression
• Some remarks on regression with autoregressive errors and their residual processes

Cited In (5)

• Joint distributions of partial and global maxima of a Brownian bridge
• On the distribution of the maximum of brownian bridges with application to regression with correlated errors
• An excursion approach to maxima of the Brownian bridge
• Efficient computation of the cdf of the maximal difference between a Brownian bridge and its concave majorant
• On the maximum of the generalized Brownian bridge

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