Extremes of locally stationary chi-square processes with trend

Details

Serval ID
serval:BIB_C3BBE89311EC
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Extremes of locally stationary chi-square processes with trend
Journal
Stochastic Processes and their Applications
Author(s)
Liu P., Ji L.
ISSN
0304-4149
Publication state
Published
Issued date
02/2017
Peer-reviewed
Oui
Volume
127
Number
2
Pages
497-525
Language
english
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.
Keywords
Tail asymptotics, Chi-square process, Brownian bridge, Bessel process, Fractional Brownian motion, Generalized Kolmogorov-Dvoretsky-Erdos integral test, Pickands constant, Slepian's lemma
Web of science
Create date
01/07/2016 19:09
Last modification date
21/08/2019 5:16
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