An excursion approach to maxima of the Brownian bridge

DOI10.1016/J.SPA.2014.04.008zbMATH Open1306.60115arXiv0904.3473OpenAlexW2140717023WikidataQ40712111 ScholiaQ40712111MaRDI QIDQ740197FDOQ740197

Mihael Perman, Jon A. Wellner

Publication date: 2 September 2014

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

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.

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

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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)

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Cited In (8)

• 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
• Title not available (Why is that?)
• On excursions inside an excursion
• Title not available (Why is that?)
• On the Brownian separable permuton
• On the maximum of the generalized Brownian bridge
• Approximate exit probabilities for a Brownian bridge on a short time interval, and applications

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