On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences

DOI10.1080/03610926.2021.1926508MaRDI QIDQ5875320zbMATH OpenOpenAlexFDO

Authors Jiamin Shao, Zhongquan Tan

Publication date 3 February 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1926508

zbMATH Keywords

chi-sequencesstationary Gaussian sequencesthe first crossing pointthe last exit time

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Bayesian inference (62F15)

Cites work

• Almost sure central limit theorems for the maxima of Gaussian functions
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• On limit distributions of first crossing points of Gaussian sequences
• On limit distributions of the time of first passage over a high level
• On maxima of chi-processes over threshold dependent grids
• Piterbarg theorems for chi-processes with trend
• Slepian models for X²-processes with dependent components with application to envelope upcrossings
• Some properties of the crossings process generated by a stationary χ² process
• The law of the iterated logarithm for the last exit time of independent random sequences
• The limiting behaviour of the last exit time for sequences of independent, identically distributed random variables

Cited in

(3)

• The asymptotic relation between the first crossing point and the last exit time of Gaussian order statistics sequences
• On the maxima of non stationary random fields subject to missing observations
• The joint limiting distribution of the upper and the lower extreme order statistics with random sample size

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