On maxima of chi-processes over threshold dependent grids

DOI10.1080/02331888.2015.1083021MaRDI QIDQ5739684zbMATH OpenOpenAlexFDO

Authors Chengxiu Ling, Zhongquan Tan

Publication date 19 July 2016

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.03135

zbMATH Keywords

asymptotic distributionsdiscrete-time processmaximanormal comparison lemmaPickands constantPiterbarg max-discretization theoremstationary chi-processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: In this paper, with motivation from [30] by Piterbarg (Extremes 7:161--177, 2004) and the considerable interest in stationary chi-processes, we derive asymptotic joint distributions of maxima of stationary strongly dependent chi-processes on a continuous time and an uniform grid on the real axis. Our findings extend those for Gaussian cases and give three involved dependence structures via the strongly dependence condition and the sparse, Pickands and dense grids.

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Cited in

(12)

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• Limit laws for the maxima of stationary chi-processes under random index
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• Behaviour of χ² processes at extrema
• Asymptotics of maxima and sums for a type of strongly dependent isotropic Gaussian random fields
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• On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences
• The extremes of dependent chi-processes attracted by the Brown-Resnick process
• On the maxima of non stationary random fields subject to missing observations
• On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations

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