On the Supremum of a Certain Gaussian Process
Darling, D. A.
Ann. Probab., Tome 11 (1983) no. 4, p. 803-806 / Harvested from Project Euclid
Let $W(t), 0 \leq t \leq 1$, be the Wiener process tied down at $t = 0, t = 1; W(0) = W(1) = 0$. We find the distribution of $\sup_{0 \leq t \leq 1} W(t) - \int^1_0 W(t) dt$ in terms of the zeros of the Airy function and the positive stable density of exponent 2/3. This corresponds to the distribution of the supremum of a certain stationary, mean zero, periodic Gaussian process. It is also the limiting distribution of an optimal test statistic for the isotropy of a set of directions, proposed by G. S. Watson.
Publié le : 1983-08-14
Classification:  Supremum of process,  stationary Gaussian process,  60G17,  60G10,  60G15
@article{1176993527,
     author = {Darling, D. A.},
     title = {On the Supremum of a Certain Gaussian Process},
     journal = {Ann. Probab.},
     volume = {11},
     number = {4},
     year = {1983},
     pages = { 803-806},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993527}
}
Darling, D. A. On the Supremum of a Certain Gaussian Process. Ann. Probab., Tome 11 (1983) no. 4, pp.  803-806. http://gdmltest.u-ga.fr/item/1176993527/