کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7548778 1489845 2018 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the supremum of a Brownian bridge standardized by its maximizing point with applications to statistics
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On the supremum of a Brownian bridge standardized by its maximizing point with applications to statistics
چکیده انگلیسی
Let T be the point, where a reflected Brownian bridge attains its maximal value M. We determine the density and the distribution function of R≔M∕T(1−T). Its counterpart Rn for tied-down sums pertaining to i.i.d. random variables converges in distribution to R. This enables the construction of a change-point test. Our new test performs significantly better than the well-known maximum-type test statistics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 134, March 2018, Pages 63-69
نویسندگان
,