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Percentiles for Cramér-von Mises functionals of Gaussian processes and some applications to Bayesian tests

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  • Eastwood, Brian J.
  • Eastwood, Vera R.

Abstract

The main objective for this paper is twofold. We first present a method for the derivation of an arbitrarily exact approximation to the distribution of Cramér-von Mises type functionals of any given Gaussian process X = {X(t): 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1}. Secondly, we demonstrate how this method may be used to easily tabulate previously almost inaccessible distributions such as those of limiting functionals arising in tests for detecting change in regression parameters (cf., e.g., Jandhyala and MacNeill, 1989).

Suggested Citation

  • Eastwood, Brian J. & Eastwood, Vera R., 1992. "Percentiles for Cramér-von Mises functionals of Gaussian processes and some applications to Bayesian tests," Stochastic Processes and their Applications, Elsevier, vol. 42(2), pages 329-344, September.
    • Handle: RePEc:eee:spapps:v:42:y:1992:i:2:p:329-344
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    Cited by:

    1. Koning, A.J. & Protassov, V., 2001. "Tail behaviour of Gaussian processes with applications to the Brownian pillow," Econometric Institute Research Papers EI 2001-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Koning, Alex J. & Protasov, Vladimir, 2003. "Tail behaviour of Gaussian processes with applications to the Brownian pillow," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 370-397, November.

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