Tail asymptotic behavior of the supremum of a class of chi-square processes

Lanpeng Ji, Peng Liu and Stephan Robert

Statistics & Probability Letters, 2019, vol. 154, issue C, -

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.

Keywords: Chi-square process; Exact asymptotics; Brownian bridge (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2019.07.001

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