Extremes of chi-square processes with trend

MaRDI QIDQ5741254zbMATH OpenFDO

Authors Peng Liu, Lanpeng Ji

Publication date 22 July 2016

Full work available at URL https://arxiv.org/abs/1407.6501, http://www.math.uni.wroc.pl/%7epms/publicationsArticle.php?ppB=1&nr=36.1&nrA=1&ppE=20

zbMATH Keywords

chi-square processesextremesFernique-type inequalityfirst passage timeGaussian random fieldPickands constantPiterbarg constantsafety regiontail asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: This paper studies the supremum of a chi-square process with trend over a threshold-dependent-time horizon. Under the assumption that the chi-square process is generated from a centered self-similar Gaussian process and the trend function is modeled by a polynomial function, we obtain the exact tail asymptotics of the supremum of the chi-square process with trend. These results are of interest in applications in engineering, insurance, queueing and statistics, etc. Some possible extensions of our results are also discussed.

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Cited in

(9)

• On probability of high extremes of Gaussian fields with a smooth random trend
• Extremes of locally stationary Gaussian and chi fields on manifolds
• Tail asymptotic behavior of the supremum of a class of chi-square processes
• Piterbarg theorems for chi-processes with trend
• Extrema and level crossings of χ² processes
• The supremum of chi-square processes
• On the tail asymptotics of supremum of stationary -processes with random trend
• Extremes of L^p-norm of vector-valued Gaussian processes with trend
• Extremes of locally stationary chi-square processes with trend

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