Extremes and limit theorems for difference of chi-type processes

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Serval ID
serval:BIB_61AC99ED89F0
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Extremes and limit theorems for difference of chi-type processes
Journal
ESAIM: Probability and Statistics
Author(s)
Albin P., Hashorva  E., Ji  L., Ling  C.
ISSN
1292-8100 (Print)
1262-3318 (Electronic)
Publication state
Published
Issued date
2016
Peer-reviewed
Oui
Volume
20
Pages
349-366
Language
english
Abstract
Let {zeta((k))(m,k) (t), t >= 0}, k > 0 be random processes defined as the differences of two independent stationary chi-type processes with m and k degrees of freedom. In this paper we derive the asymptotics P{sup(t is an element of[0,T]) zeta((k))(m,k)(t) > u}, u -> infinity under some assumptions on the covariance structures of the underlying Gaussian processes. Further, we establish a Berman sojourn limit theorem and a Gumbel limit result.
Keywords
Stationary Gaussian process, stationary chi-type process, extremes, Berman sojourn limit theorem, Gumbel limit theorem, Berman's condition
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15/07/2016 9:48
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20/08/2019 15:18
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