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

Brownian bridgeexcursionsextremaKolmogorov-Smirnov statisticsrescaling

Mathematics Subject Classification ID

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

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

(13)

• 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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