We provide a representation of the maximal difference between a standard Brownian bridge and its concave majorant on the unit interval, from which we deduce expressions for the distribution and density functions and moments of this difference. This maximal difference has an application in nonparametric statistics, where it arises in testing monotonicity of a density or regression curve.
Publié le : 2011-02-15
Classification:
Brownian bridge,
Brownian excursion,
concave majorant,
Doob’s transformation,
inverse of Laplace transform,
stick-breaking process
@article{1297173851,
author = {Balabdaoui, Fadoua and Pitman, Jim},
title = {The distribution of the maximal difference between a Brownian bridge and its concave majorant},
journal = {Bernoulli},
volume = {17},
number = {1},
year = {2011},
pages = { 466-483},
language = {en},
url = {http://dml.mathdoc.fr/item/1297173851}
}
Balabdaoui, Fadoua; Pitman, Jim. The distribution of the maximal difference between a Brownian bridge and its concave majorant. Bernoulli, Tome 17 (2011) no. 1, pp. 466-483. http://gdmltest.u-ga.fr/item/1297173851/