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August 2009 A distribution for a pair of unit vectors generated by Brownian motion
Shogo Kato
Bernoulli 15(3): 898-921 (August 2009). DOI: 10.3150/08-BEJ178


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.


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Shogo Kato. "A distribution for a pair of unit vectors generated by Brownian motion." Bernoulli 15 (3) 898 - 921, August 2009.


Published: August 2009
First available in Project Euclid: 28 August 2009

zbMATH: 1201.62066
MathSciNet: MR2555204
Digital Object Identifier: 10.3150/08-BEJ178

Keywords: bivariate circular distribution , copula , exit distribution , wrapped Cauchy distribution

Rights: Copyright © 2009 Bernoulli Society for Mathematical Statistics and Probability


Vol.15 • No. 3 • August 2009
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