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

Ji, Lanpeng and Liu, Peng and Robert, Stephan (2019) 'Tail asymptotic behavior of the supremum of a class of chi-square processes.' Statistics and Probability Letters, 154. ISSN 0167-7152

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: Chi-square process, Exact asymptotics, Brownian bridge
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Elements
Date Deposited: 28 Jan 2021 17:43
Last Modified: 28 Jan 2021 18:15
URI: http://repository.essex.ac.uk/id/eprint/28176

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