Extremes of locally stationary chi-square processes with trend

DOI10.1016/J.SPA.2016.06.016zbMATH Open1354.60057arXiv1504.07053OpenAlexW2237809307WikidataQ61308198 ScholiaQ61308198MaRDI QIDQ730347FDOQ730347

Lanpeng Ji, Peng Liu

Publication date: 27 December 2016

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

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.

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

zbMATH Keywords

fractional Brownian motionBessel processextremestail asymptoticsBrownian bridgePickands constantchi-square processes[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=generalized+Kolmogorov-Dvoretsky-Erd%EF%BF%BD%EF%BF%BDs+integral+test&go=Go generalized Kolmogorov-Dvoretsky-Erd��s integral test]Slepian's lemma

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)

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Cited In (11)

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

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