The von Mises-Fisher distribution of the first exit point from the hypersphere of the drifted Brownian motion and the density of the first exit time

DOI10.1016/j.spl.2013.03.010zbMath1281.62130MaRDI QIDQ383927

Riccardo Gatto

Publication date: 6 December 2013

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

Full work available at URL: https://doi.org/10.1016/j.spl.2013.03.010

zbMATH Keywords

Laplace transforms; Bessel functions; Bell polynomials; directional distributions; post inversion formula

Mathematics Subject Classification ID

62H11: Directional data; spatial statistics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60J65: Brownian motion

33C90: Applications of hypergeometric functions

Uses Software

• CircStats
• circular

Cites Work

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• 'Normal' distribution functions on spheres and the modified Bessel functions
• A characterization of the von Mises distribution
• Some probabilistic properties of Bessel functions
• Numerical methods for Laplace transform inversion
• Topics in Circular Statistics
• The Infinite Divisibility of the Von Mises-Fisher Distribution for All Values of the Parameter in all Dimensions
• The Curious History of Faa di Bruno's Formula
• Applied Probability and Queues
• A note on hyperbolic von Mises distributions