Ji, L orcid.org/0000-0002-7790-7765, Liu, P and Robert, S (2019) Tail asymptotic behavior of the supremum of a class of chi-square processes. Statistics and Probability Letters, 154. 108551. ISSN 0167-7152
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019, Elsevier B.V. All rights reserved. This is an author produced version of an article published in Statistics and Probability Letters. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Chi-square process; Exact asymptotics; Brownian bridge |
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: | 09 Jul 2019 11:24 |
Last Modified: | 11 Jul 2020 00:38 |
Status: | Published |
Publisher: | Elsevier BV |
Identification Number: | 10.1016/j.spl.2019.07.001 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:148318 |