Confidence bands for Brownian motion and applications to Monte Carlo simulation

被引：0
作者：
W. S. Kendall
J.-M. Marin
C. P. Robert
机构：
[1] University of Warwick,Department of Statistics
[2] Université d’Orsay (Bât. 425),Projet select,INRIAfuturs,Laboratoire de Mathématiques
[3] Université Paris Dauphine and CREST,CEREMADE
[4] INSEE,undefined
来源：
Statistics and Computing | 2007年 / 17卷
关键词：
Boundary crossing probability; Brownian motion; Central limit theorem; CUSUM; Local time; Monte Carlo path; Simultaneous confidence region;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Minimal area regions are constructed for Brownian paths and perturbed Brownian paths. While the theoretical optimal region cannot be obtained in closed form, we provide practical confidence regions based on numerical approximations and local time arguments. These regions are used to provide informal convergence assessments for both Monte Carlo and Markov Chain Monte Carlo experiments, via the Brownian asymptotic approximation of cumulative sums.
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页码：1 / 10
页数：9
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