Liu, Peng and Ji, Lanpeng (2016) Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36. pp. 1-20.
Liu, Peng and Ji, Lanpeng (2016) Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36. pp. 1-20.
Liu, Peng and Ji, Lanpeng (2016) Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36. pp. 1-20.
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 |
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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 Faculty of Science and Health > Mathematical Sciences, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 07 Jan 2021 09:30 |
Last Modified: | 06 Jan 2022 14:16 |
URI: | http://repository.essex.ac.uk/id/eprint/28181 |
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