On the distribution of the maximum of brownian bridges with application to regression with correlated errors

DOI10.1080/00949659008811209zbMath0726.62151OpenAlexW2077606504MaRDI QIDQ3350581

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Publication date: 1990

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659008811209

zbMATH Keywords

Brownian bridgepolynomial regressionautoregressive errorsMonte Carlo technique

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Monte Carlo methods (65C05) Inference from stochastic processes (62M99)

Related Items (3)

A permutation approach to goodness-of-fit testing in regression models ⋮ Nuisance-parameter-free changepoint detection in non-stationary series ⋮ Abrupt change in mean using block bootstrap and avoiding variance estimation

Cites Work

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• Data. A collection of problems from many fields for the student and research worker
• On the residuals of autoregressive processes and polynomial regression
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• A Note on the Generation of Random Normal Deviates
• A month carlo approximation of the distributions of the maximum of various brownjan bridges
• Some remarks on regression with autoregressive errors and their residual processes

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