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Two Lil-type results for the Brownian bridge

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Author Info
Sen, Pradip Kumar
Abstract

The necessary and sufficient condition for a function to be upper class relative to a Brownian motion process was obtained by T. Sirao and T. Nisida (1952, Nagoya Math. J. 4, 97-101) and a related result on first passage distribution was obtained by P. K. Sen and M. J. Wichura (in press, Estimation of First Crossing Time Distribution for Brownian Motion Processes Relative to Upper Class Boundaries). Corresponding results for the Brownian bridge are discussed.

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Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 19 (1986)
Issue (Month): 1 (June)
Pages: 113-118
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Handle: RePEc:eee:jmvana:v:19:y:1986:i:1:p:113-118

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Keywords: Brownian bridge upper and lower class functions first crossing time;

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  1. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society. [Downloadable!]
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