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dc.contributor.authorBalabdaoui, Fadoua
dc.contributor.authorPitman, Jim
dc.date.accessioned2012-06-12T09:59:25Z
dc.date.available2012-06-12T09:59:25Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9432
dc.language.isoenen
dc.subjectBrownian bridgeen
dc.subjectBrownian excursionen
dc.subjectconcave majoranten
dc.subjectDoob’s transformationen
dc.subjectinverse of Laplace transformen
dc.subjectstick-breaking processen
dc.subject.ddc519en
dc.titleThe distribution of the maximal difference between a Brownian bridge and its concave majoranten
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherBerkeley University of California (UC BERKELEY) http://berkeley.edu/ UC Berkeley University of California, Berkeley Department of Mathematics Berkeley;États-Unis
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameBernoulli
dc.relation.isversionofjnlvol17en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages466-483en
dc.relation.isversionofdoihttp://dx.doi.org/10.3150/10-BEJ280en
dc.identifier.urlsitehttp://arxiv.org/abs/0910.0405en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherBernoulli Society for Mathematical Statistics and Probabilityen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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