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  • Search: subject:"density/distribution functions"
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Year of publication
Subject
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Brownian Motion (Wiener process) 1 Laplace inversion 1 Parabolic cylinder 1 and Kummer functions 1 density/distribution functions 1 unit root 1
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Book / Working Paper 1
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Undetermined 1
Author
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Abadir, Karim 1
Institution
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Business School, University of Exeter 1
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Discussion Papers / Business School, University of Exeter 1
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RePEc 1
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The Joint Density of Two Functionals of a Brownian Motion
Abadir, Karim - Business School, University of Exeter - 1994
In time series containing an autoregressive unit root, almost all known statistics can be described in terms of two Wiener functionals. It is therefore crucial for us to know how these functionals are jointly distributed in terms of explicit formulae that can be manipulated analytically, that do...
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