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Extremes of chi-square processes with trend

Liu, Peng and Ji, Lanpeng (2016) 'Extremes of chi-square processes with trend.' Probability and Mathematical Statistics, 36. 1 - 20. ISSN 0208-4147

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Abstract

This paper studies the supremum of chi-square processes with trend over a threshold-dependent-time horizon. Under the assumptions that the chi-square process is generated from a centered self-similar Gaussian process and the trend function is modeled by a polynomial function, we obtain the exact tail asymptotics of the supremum of the chi-square process with trend. These results are of interest in applications in engineering, insurance, queueing and statistics, etc. Some possible extensions of our results are also discussed.

Item Type: Article
Uncontrolled Keywords: Chi-square process, Gaussian random field, safety region, tail asymptotics, first passage time, Pickands constant, Piterbarg constant, Fernique-type inequality.
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Elements
Date Deposited: 07 Jan 2021 09:30
Last Modified: 07 Jan 2021 10:15
URI: http://repository.essex.ac.uk/id/eprint/28181

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