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

@inproceedings{Kat2006ADF,
  title={A distribution for a pair of unit vectors generated by Brownian motion by Shogo},
  author={Katō and Shogo Kato},
  year={2006}
}
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… CONTINUE READING

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