The continuous and discrete Brownian bridges: Representations and applications

被引：13

作者：

Anderson, TW ^{[1
]}

Stephens, MA ^{[1
]}

机构：

[1] SIMON FRASER UNIV,DEPT MATH & STAT,BURNABY,BC V5A 1S6,CANADA

来源：

LINEAR ALGEBRA AND ITS APPLICATIONS | 1997年 / 264卷

关键词：

D O I：

10.1016/S0024-3795(97)00015-3

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We give an exposition of Brownian motion and the Brownian bridge, both continuous and discrete. Several examples are given where these processes, or ones closely related to them, are used in statistical applications. Representations of the processes, in terms of weighted standard normal variables, are given, and it is suggested how these might be used in simulation studies. (C) 1997 Elsevier Science Inc.

引用

页码：145 / 171

页数：27

共 18 条

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