On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences

Jiamin Shao and Zhongquan Tan

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 4, 1237-1250

Abstract: In this paper, we studied the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences which are generated by stationary weakly and strongly dependent Gaussian sequences. It is shown that the last exit time and the first crossing point are asymptotically independent and dependent for weakly and strongly dependent case, respectively.

Date: 2023
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DOI: 10.1080/03610926.2021.1926508

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