Related papers: Piterbarg Theorems for Chi-processes with Trend

Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\exists_{t \in [0,T]} \forall_{i=1 ... n} X_i(t)> u \right) $$…

Let $\{X(t),t\ge0\}$ be a centered Gaussian process and let $\gamma$ be a non-negative constant. In this paper we study the asymptotics of $P\{\underset{t\in [0,\mathcal{T}/u^\gamma]}\sup X(t)>u\}$ as $u\to\infty$, with $\mathcal{T}$ an…

Let $\{X(t), t\geq0\}$ be a stationary Gaussian process with zero-mean and unit variance. A deep result derived in Piterbarg (2004), which we refer to as Piterbarg's max-discretisation theorem gives the joint asymptotic behaviour ($T\to…

In this paper, with motivation from [30] by Piterbarg (Extremes 7:161--177, 2004) and the considerable interest in stationary chi-processes, we derive asymptotic joint distributions of maxima of stationary strongly dependent chi-processes…

For the stationary storage process $\{Q(t), t\ge0\}$, with $ Q(t)=\sup_{ s \ge t}\left(X(s)-X(t)-c(s-t)^\beta\right), $ where $\{X(t),t\ge 0\}$ is a centered Gaussian process with stationary increments, $c>0$ and $\beta>0$ is chosen such…

In this contribution we are concerned with the asymptotic behaviour as $u\to \infty$ of $\mathbb{P}\{\sup_{t\in [0,T]} X_u(t)> u\}$, where $X_u(t),t\in [0,T],u>0$ is a family of centered Gaussian processes with continuous trajectories. A…

Let $\{X(t):t\in[0,\infty)\}$ be a centered Gaussian process with stationary increments and variance function $\sigma^2_X(t)$. We study the exact asymptotics of ${\mathbb{P}}(\sup_{t\in[0,T]}X(t)>u)$ as $u\to\infty$, where $T$ is an…

For $\{X(t), t \in G_\delta\}$ a centered Gaussian process with stationary increments and a.s. sample paths on a discrete grid $G_\delta=\{0,\delta,2\delta, ...\}$, where $\delta>0$, we investigate the stationary reflected process…

For $X_i(t), i=1,\ldots, n, t\in [0,T]$ centered Gaussian processes, the chi-square process $\sum_{i=1}^{n}X_i^2(t)$ appears naturally as limiting processes in various statistical models. In this paper, we are concerned with the exact tail…

Let X be a second order random process indexed by a compact interval [0,T]. Assume that n independent realizations of X are observed on a fixed grid of p time points. Under mild regularity assumptions on the sample paths of X, we show the…

This paper studies the supremum of a chi-square process with trend over a threshold-dependent-time horizon. Under the assumption that the chi-square process is generated from a centered self-similar Gaussian process and the trend function…

Let $\{X(t) : t \in [0, \infty) \}$ be a centered stationary Gaussian process. We study the exact asymptotics of $\pr (\sup_{s \in [0,T]} X(t) > u)$, as $u \to \infty$, where $T$ is an independent of \{X(t)\} nonnegative random variable. It…

We establish an exact asymptotic formula for the square variation of certain partial sum processes. Let $\{X_{i}\}$ be a sequence of independent, identically distributed mean zero random variables with finite variance $\sigma$ and…

Let $\boldsymbol{X}(t)=(X_1(t),\ldots,X_d(t))$ be a Gaussian vector process and $g(t)$ be a continuous function. The asymptotics of distribution of $\left\|\boldsymbol{X}(t)\right\|_p$, the $L^p$ norm for Gaussian finite-dimensional vector,…

Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be independent copies of a random process $\{X(t), t\ge0\}$. For a given positive constant $u$, define the set of $r$th conjunctions $C_r(u):=\{t\in[0,1]: X_{r:n}(t)>u\}$ with $ X_{r:n}$ the $r$th largest…

We prove a central limit theorem for random sums of the form $\sum_{i=1}^{N_n} X_i$, where $\{X_i\}_{i \geq 1}$ is a stationary $m-$dependent process and $N_n$ is a random index independent of $\{X_i\}_{i\geq 1}$. Our proof is a…

Let $\{\zeta_{m,k}^{(\kappa)}(t), t \ge0\}, \kappa>0$ be random processes defined as the differences of two independent stationary chi-type processes with $m$ and $k$ degrees of freedom. In applications such as physical sciences and…

In this paper, we analyze a multivariate counterpart of the generalized weighted Kolmogorov-Smirnov statistic, which is the supremum of weighted locally stationary chi-square process over non-compact interval. The boundedness and the exact…

We derive exact asymptotics of $$\mathbb{P}\left(\sup_{\mathbf{t}\in {\mathcal{A}}}X(\mathbf{t})>u\right),~ \text{as}~ u\to\infty,$$ for a centered Gaussian field $X(\mathbf{t}),~ \mathbf{t}\in \mathcal{A}\subset\mathbb{R}^n$, $n>1$ with…

In this paper, we study the asymptotic behavior of supremum distribution of some classes of iterated stochastic processes $\{X(Y(t)) : t \in [0, \infty)\}$, where $\{X(t) : t \in \mathbb{R} \}$ is a centered Gaussian process and $\{Y(t): t…