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dc.contributor.authorKendall, W.S.
dc.contributor.authorMarin, Jean-Michel
dc.contributor.authorRobert, Christian P.
dc.date.accessioned2011-05-09T10:33:03Z
dc.date.available2011-05-09T10:33:03Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6224
dc.descriptionLa version de travail s'intitule "Brownian Confidence Bands on Monte Carlo Output"en
dc.language.isoenen
dc.subjectBoundary crossing probabilityen
dc.subjectBrownian motionen
dc.subjectCentral limit theoremen
dc.subjectCUSUMen
dc.subjectLocal timeen
dc.subjectMonte Carlo pathen
dc.subjectSimultaneous confidence regionen
dc.subject.ddc519en
dc.titleConfidence bands for Brownian motion and applications to Monte Carlo simulationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenMinimal area regions are constructed for Brownian paths and perturbed Brownian paths. While the theoretical optimal region cannot be obtained in closed form, we provide practical confidence regions based on numerical approximations and local time arguments. These regions are used to provide informal convergence assessments for both Monte Carlo and Markov Chain Monte Carlo experiments, via the Brownian asymptotic approximation of cumulative sums.en
dc.relation.isversionofjnlnameStatistics and Computing
dc.relation.isversionofjnlvol17en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2007
dc.relation.isversionofjnlpages1-10en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s11222-006-9001-zen
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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