Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
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Publication:1881412
DOI10.1007/BF02517802zbMath1057.60077OpenAlexW1977881779MaRDI QIDQ1881412
Chris Carolan, Richard L. Dykstra
Publication date: 5 October 2004
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02517802
Related Items (3)
A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes ⋮ A Kolmogorov-type test for monotonicity of regression. ⋮ The greatest convex minorant of Brownian motion, meander, and bridge
Cites Work
- The concave majorant of Brownian motion
- Testing uniformity versus a monotone density
- Marginal densities of the least concave majorant of Brownian motion.
- Diffusion processes and their sample paths.
- Isotonic regression: Another look at the changepoint problem
- Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
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