The distribution of the maximal difference between a Brownian bridge and its concave majorant

DOI10.3150/10-BEJ280zbMATH Open1284.60151arXiv0910.0405OpenAlexW1994266781MaRDI QIDQ637112FDOQ637112

Authors: Fadoua Balabdaoui, Jim Pitman 

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We provide a representation of the maximal difference between a standard Brownian bridge and its concave majorant on the unit interval, from which we deduce expressions for the distribution and density functions and moments of this difference. This maximal difference has an application in nonparametric statistics where it arises in testing monotonicity of a density or regression curve.

Full work available at URL: https://arxiv.org/abs/0910.0405

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zbMATH Keywords

Brownian bridgeBrownian excursionconcave majorantstick-breaking processDoob's transformationinverse of Laplace transform

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cited In (12)

• The convex minorant of a Lévy process
• Some developments in the theory of shape constrained inference
• Joint distributions of partial and global maxima of a Brownian bridge
• Markovian structure in the concave majorant of Brownian motion
• The greatest convex minorant of Brownian motion, meander, and bridge
• An excursion approach to maxima of the Brownian bridge
• Testing monotonicity via local least concave majorants
• Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
• Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
• 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
• On the supremum of a Brownian bridge standardized by its maximizing point with applications to statistics

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