This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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460
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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| Abstract - #307384 |
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Title:
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The Distribution of the Maximal Difference Between Brownian Bridge and Its Concave Majorant
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Author(s):
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Fadoua Balabdaoui*+
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Companies:
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Universite Paris-Dauphine
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Address:
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Place du Marechal de Lattre de Tassigny, Paris, International, 75775, France
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Keywords:
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Brownian bridge ;
Bessel functions ;
concave majorant ;
stick-breaking process
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Abstract:
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We provide a representation of the maximal difference between a standard Brownian bridge and its concave majorant on the unit interval, from which we deduce expressions for the distribution and density functions and moments of this difference. This maximal difference has an application in nonparametric statistics where it arises in testing monotonicity of a density or regression curve.
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Authors who are presenting talks have a * after their name.
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