Liu, P and Ji, L orcid.org/0000-0002-7790-7765 (2016) Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36. pp. 1-20. ISSN 0208-4147
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Keywords: | Chi-square process; Gaussian random field; safety region; tail asymptotics; first passage time; Pickands constant; Piterbarg constant; Fernique-type inequality |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 22 Nov 2021 15:57 |
Last Modified: | 22 Dec 2021 09:14 |
Published Version: | http://www.math.uni.wroc.pl/~pms/publicationsArtic... |
Status: | Published |
Publisher: | Wydawnictwo Uniwersytetu Wrocławskiego |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:148134 |