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Tail asymptotic behavior of the supremum of a class of chi-square processes

Ji, Lanpeng; Liu, Peng; Robert, Stephan
2019
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American Psychological Association 7th edition (APA 7th)
🇺🇸 English, US
Ji, L., Liu, P., & Robert, S. (2019). Tail asymptotic behavior of the supremum of a class of chi-square processes. Statistics & Probability Letters, 154, 108551. https://doi.org/10.1016/j.spl.2019.07.001
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Résumé

We analyze in this paper the supremum of a class of chi-square processes over non-compact intervals, which can be seen as a multivariate counterpart of the generalized weighted Kolmogorov-Smirnov statistic. The boundedness and the exact tail asymptotic behavior of the supremum are derived. As examples, the chi-square process generated from the Brownian bridge and the fractional Brownian motion are discussed.

Détails

Titre
Tail asymptotic behavior of the supremum of a class of chi-square processes
Auteur(s)/ trice(s)
Ji, Lanpeng (School of Mathematics, University of Leeds, Leeds, United Kingdom)
Liu, Peng (Department of Statistics and Actuarial Science, University of Waterloo, Canada)
Robert, Stephan (School of Engineering and Management Vaud, HES-SO, University of Applied Sciences and Arts Western Switzerland)
Date
2019-07
Publié dans
Statistics Probability Letters
Volume
2019, vol. 154
Pagination & équivalents
11 p.
DOI
https://doi.org/10.1016/j.spl.2019.07.001
ISSN
0167-7152
Mots-clés (libres)
chi-square process ; exact asymptotics ; brownian bridge
Type d'article
scientifique
Domaine
Ingénierie et Architecture
Ecole
HEIG-VD
Institut
IICT - Institut des Technologies de l'Information et de la Communication
Le document apparaît dans
Articles scientifiques
Global
Ressource(s) externe(s)
Preprint on arXiv.org

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