Computing the distribution of sequential Hölder norms of the Brownian motion

Alfredas Račkauskas and Charles Suquet

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 15, 4378-4391

Abstract: In this article, we give explicit formulas and study practical computations for the distribution function of sequential Hölder norms of a Brownian motion and of a Brownian bridge. We also discuss some statistical applications in the detection of some short “epidemic” changes in a sample.

Date: 2016
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DOI: 10.1080/03610926.2014.911903

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