Extremes of locally stationary chi-square processes with trend

DOI10.1016/J.SPA.2016.06.016zbMATH Open1354.60057OpenAlexW2237809307WikidataQ61308198 ScholiaQ61308198MaRDI QIDQ730347FDOQ730347

Authors Peng Liu, Lanpeng Ji 

Publication date 27 December 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.07053

zbMATH Keywords

fractional Brownian motionBessel processextremestail asymptoticsBrownian bridgePickands constantchi-square processesSlepian's lemmageneralized Kolmogorov-Dvoretsky-Erdős integral test

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Stationary stochastic processes (60G10) Brownian motion (60J65)

Abstract: Chi-square processes with trend appear naturally as limiting processes in various statistical models. In this paper we are concerned with the exact tail asymptotics of the supremum taken over (0; 1) of a class of locally stationary chi-square processes with particular admissible trends. An important tool for establishing our results is a weak version of Slepian's lemma for chi-square processes. Some special cases including squared Brownian bridge and Bessel process are discussed.

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Cited in

(15)

• Extremes of chi-square processes with trend
• High excursions of Bessel process and other processes of Bessel type
• Reduction principle for functionals of vector random fields
• On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences
• Piterbarg theorems for chi-processes with trend
• Extremes on different grids and continuous time of stationary processes
• Tail asymptotic behavior of the supremum of a class of chi-square processes
• Extremes of locally stationary Gaussian and chi fields on manifolds
• Local and uniform moduli of continuity of chi-square processes
• Extremes of \(L^p\)-norm of vector-valued Gaussian processes with trend
• On probability of high extremes of Gaussian fields with a smooth random trend
• Extrema and level crossings of χ² processes
• High excursions of Bessel and related random processes
• On the tail asymptotics of supremum of stationary \(\chi\)-processes with random trend
• The supremum of chi-square processes

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