Authors: XiaoHui Ai WenBo V Li
Publish Date: 2014/07/14
Volume: 57, Issue: 10, Pages: 2043-2052
Abstract
The mth order detrended Brownian motion is defined as the orthogonal component of projection of the standard Brownian motion onto the subspace spanned by polynomials of degree up to m We obtain the KarhunenLoeve expansion for the process and establish a connection with the generalized mth order Brownian bridge developed by MacNeill 1978 in the study of distributions of polynomial regression The resulting distribution identity is also verified by a stochastic Fubini approach As applications large and small deviation asymptotic behaviors for the L 2 norm are given
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