Author:
Lindell Andreas,Holst Lars
Abstract
Expressions for the joint distribution of the longest and second longest excursions as well as the marginal distributions of the three longest excursions in the Brownian bridge are obtained. The method, which primarily makes use of the weak convergence of the random walk to the Brownian motion, principally gives the possibility to obtain any desired joint or marginal distribution. Numerical illustrations of the results are also given.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference7 articles.
1. Lindell A. (2000). Numerical investigations of the distributions of the longest excursions in tied down simple random walks and Brownian bridges. Licentiate Thesis. Royal Institute of Technology, Stockholm.
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Cited by
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