Details

Autor(en) / Beteiligte

• Carolan, C.

Titel

Two-sided Brownian motion with quadratic drift and its least concave majorant

Ist Teil von

• Journal of statistical computation and simulation, 2007-05, Vol.77 (5), p.379-387

Ort / Verlag

Taylor & Francis

Erscheinungsjahr

2007

Link zum Volltext

Quelle

Taylor & Francis

Beschreibungen/Notizen

• The main result of Wang [Wang, Y., 1994, The limit distribution of the concave majorant of an empirical distribution function. Statistics and Probability Letters, 20, 81-84.], the limiting distribution of the difference between the empirical distribution and its least concave majorant at a fixed point, is extended by noting its asymptotic independence with the well-known limiting normal distribution of the difference between the empirical distribution and the true distribution function at the same fixed point. Furthermore, Wang's limiting distribution, the least concave majorant of two-sided Brownian motion with quadratic drift evaluated at 0, is simulated, tabled, and a stochastic upper bound is derived using two-sided Brownian motion with absolute drift. Some stationarity properties associated with two-sided Brownian motion with quadratic drift and its least concave majorant are also presented.