Extremes of locally stationary chi-square processes with trend
Probability
2016-07-20 v2
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
Cite
@article{arxiv.1504.07053,
title = {Extremes of locally stationary chi-square processes with trend},
author = {Peng Liu and Lanpeng Ji},
journal= {arXiv preprint arXiv:1504.07053},
year = {2016}
}
Comments
26 pages in Stochastic Processes and their Applications, 2016