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arXiv · 1504.07053

Extremes of locally stationary chi-square processes with trend

Peng Liu·Lanpeng Ji
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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.

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Peng Liu, Lanpeng Ji. 2016-07-19. Extremes of locally stationary chi-square processes with trend. https://doi.org/10.1016/j.spa.2016.06.016

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