THE CONTINUOUS AND DISCRETE BROWNIAN BRIDGES - REPRESENTATIONS AND APPLICATIONS

Authors
ANDERSON TW STEPHENS MA
Citation
Tw. Anderson et Ma. Stephens, THE CONTINUOUS AND DISCRETE BROWNIAN BRIDGES - REPRESENTATIONS AND APPLICATIONS, Linear algebra and its applications, 264, 1997, pp. 145-171
Citations number
18
Categorie Soggetti
Mathematics,Mathematics
Journal title
Linear algebra and its applications → ACNP
ISSN journal
00243795
Volume
264
Year of publication
1997
Pages
145 - 171
Database
ISI
SICI code
0024-3795(1997)264:<145:TCADBB>2.0.ZU;2-2
Abstract
We give an exposition of Brownian motion and the Brownian bridge, both continuous and discrete. Several examples are given where these proce sses, or ones closely related to them, are used in statistical applica tions. Representations of the processes, in terms of weighted standard normal variables, are given, and it is suggested how these might be u sed in simulation studies. (C) 1997 Elsevier Science Inc.