Extremes of locally stationary chi-square processes with trend

DOI10.1016/j.spa.2016.06.016zbMath1354.60057arXiv1504.07053OpenAlexW2237809307WikidataQ61308198 ScholiaQ61308198MaRDI QIDQ730347

Lanpeng Ji, Peng Liu

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 processBrownian bridgetail asymptoticsextremesPickands constantchi-square processesgeneralized Kolmogorov-Dvoretsky-Erdős integral testSlepian's lemma

Mathematics Subject Classification ID

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

Related Items (11)

Local and uniform moduli of continuity of chi-square processes ⋮ On the tail asymptotics of supremum of stationary χ-processes with random trend ⋮ Extremes of L^p-norm of vector-valued Gaussian processes with trend ⋮ High excursions of Bessel and related random processes ⋮ Reduction principle for functionals of vector random fields ⋮ Extremes on different grids and continuous time of stationary processes ⋮ 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 ⋮ High excursions of Bessel process and other processes of Bessel type ⋮ On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences

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