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. p. 108551. DOI https://doi.org/10.1016/j.spl.2019.07.001
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. p. 108551. DOI https://doi.org/10.1016/j.spl.2019.07.001
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. p. 108551. DOI https://doi.org/10.1016/j.spl.2019.07.001
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 Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 28 Jan 2021 17:43 |
| Last Modified: | 30 Oct 2024 19:14 |
| URI: | http://repository.essex.ac.uk/id/eprint/28176 |
Available files
Filename: WeightedKS-journal.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0