Bernoulli

  • Bernoulli
  • Volume 15, Number 3 (2009), 898-921.

A distribution for a pair of unit vectors generated by Brownian motion

Shogo Kato

Full-text: Open access

Abstract

We propose a bivariate model for a pair of dependent unit vectors which is generated by Brownian motion. Both marginals have uniform distributions on the sphere, while the conditionals follow so-called “exit” distributions. Some properties of the proposed model, including parameter estimation and a pivotal statistic, are investigated. Further study is undertaken for the bivariate circular case by transforming variables and parameters into the form of complex numbers. Some desirable properties, such as a multiplicative property and infinite divisibility, hold for this submodel. Two estimators for the parameter of the submodel are studied and a simulation study is carried out to investigate the finite sample performance of the estimators. In an attempt to produce more flexible models, some methods to generalize the proposed model are discussed. One of the generalized models is applied to wind direction data. Finally, we show how it is possible to construct distributions in the plane and on the cylinder by applying bilinear fractional transformations to the proposed bivariate circular model.

Article information

Source
Bernoulli, Volume 15, Number 3 (2009), 898-921.

Dates
First available in Project Euclid: 28 August 2009

Permanent link to this document
https://projecteuclid.org/euclid.bj/1251463286

Digital Object Identifier
doi:10.3150/08-BEJ178

Mathematical Reviews number (MathSciNet)
MR2555204

Zentralblatt MATH identifier
1201.62066

Keywords
bivariate circular distribution copula exit distribution wrapped Cauchy distribution

Citation

Kato, Shogo. A distribution for a pair of unit vectors generated by Brownian motion. Bernoulli 15 (2009), no. 3, 898--921. doi:10.3150/08-BEJ178. https://projecteuclid.org/euclid.bj/1251463286


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