An excursion approach to maxima of the Brownian bridge

DOI10.1016/J.SPA.2014.04.008MaRDI QIDQ740197zbMATH OpenOpenAlexWikidataFDO

Authors Mihael Perman, Jon A. Wellner

Publication date 2 September 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.3473

zbMATH Keywords

excursionsBrownian bridgerescalingextremaKolmogorov-Smirnov statistics

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic distribution theory in statistics (62E20) Brownian motion (60J65) Local time and additive functionals (60J55)

Abstract: Functionals of Brownian bridge arise as limiting distributions in nonparametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. Only the Poisson character of the excursion process will be used. Particular cases of calculations include the distributions of the Kolmogorov-Smirnov statistic, the Kuiper statistic, and the ratio of the maximum positive ordinate to the minumum negative ordinate.

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Cited in

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• Approximate exit probabilities for a Brownian bridge on a short time interval, and applications
• Joint distributions of partial and global maxima of a Brownian bridge
• A month carlo approximation of the distributions of the maximum of various brownjan bridges
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• The distribution of the maximal difference between a Brownian bridge and its concave majorant
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• Efficient computation of the cdf of the maximal difference between a Brownian bridge and its concave majorant
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• On the supremum of a Brownian bridge standardized by its maximizing point with applications to statistics

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