Efficient computation of the cdf of the maximal difference between a Brownian bridge and its concave majorant

DOI10.1080/00949655.2010.534481zbMath1431.60090arXiv1005.1307OpenAlexW2262233794MaRDI QIDQ4913957

Karim Filali, Fadoua Balabdaoui

Publication date: 17 April 2013

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

Full work available at URL: https://arxiv.org/abs/1005.1307

zbMATH Keywords

monotonicityMonte CarloBrownian bridgecumulative distribution functionconcave majorantGaver-Stehfest algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Brownian motion (60J65)

Related Items (1)

Testing monotonicity via local least concave majorants

Uses Software

• gmp
• MPFR

Cites Work

• Unnamed Item
• The distribution of the maximal difference between a Brownian bridge and its concave majorant
• Distribution of global measures of deviation between the empirical distribution function and its concave majorant
• A Kolmogorov-type test for monotonicity of regression.
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions
• A Unified Framework for Numerically Inverting Laplace Transforms
• Multi-precision Laplace transform inversion
• Robust and reliable defect control for Runge-Kutta methods
• The distribution of the maximum Brownian excursion

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