An explicit expression for the distribution of the supremum of brownian motion with a change point

DOI10.1080/03610929008830185zbMath0900.60091OpenAlexW1963888134MaRDI QIDQ3135368

Benzion Boukai

Publication date: 17 October 1993

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929008830185

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Related Items (8)

Large deviations for Bernstein bridges ⋮ Graphically based interval estimation for the change-point ⋮ Perturbations of multiple Schramm-Loewner evolution with two non-colliding Dyson Brownian motions ⋮ First-exit times of an inverse Gaussian process ⋮ Survival energy models for mortality prediction and future prospects ⋮ On functional limit theorems for the cumulative times in alternating renewal processes ⋮ WHY DOES A HUMAN DIE? A STRUCTURAL APPROACH TO COHORT-WISE MORTALITY PREDICTION UNDER SURVIVAL ENERGY HYPOTHESIS ⋮ The asymptotic power function of GLR tests for local change of parameter

Cites Work

• The asymptotic power function of GLR tests for local change of parameter
• Sequential analysis. Tests and confidence intervals
• Boundary crossing probabilities and statistical applications
• Bahadur efficiency of rank tests for the change-point problem
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Unnamed Item

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