On maxima of chi-processes over threshold dependent grids

被引：9
|
作者：
Ling, Chengxiu [1 ,2 ]
Tan, Zhongquan [2 ,3 ]
机构：
[1] Southwest Univ, Sch Math & Stat, Chongqing 400715, Peoples R China
[2] Univ Lausanne, Dept Actuarial Sci, Fac Business & Econ, UNIL Dorigny, CH-1015 Lausanne, Switzerland
[3] Jiaxing Univ, Coll Math Phys & Informat Engn, Jiaxing 314001, Peoples R China
来源：
STATISTICS | 2016年 / 50卷 / 03期
基金：
美国国家科学基金会; 瑞士国家科学基金会;
关键词：
stationary chi-processes; normal comparison lemma; discrete time process; Piterbarg max-discretization theorem; Pickands constant; Primary: 60F05; Secondary: 60G15; EXTREME-VALUE THEORY; GAUSSIAN-PROCESSES; ASYMPTOTICS; CROSSINGS; SUPREMUM; THEOREM;
D O I：
10.1080/02331888.2015.1083021
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, with motivation from Piterbarg VI [Discrete and continuous time extremes of Gaussian processes. Extremes. 2004;7(2):161-177] and the considerable interest in stationary chi-processes, we derive asymptotic joint distributions of maxima of stationary strongly dependent chi-processes on a continuous time and a uniform grid on the real axis. Our findings extend those for Gaussian cases and give three involved dependence structures via the strongly dependence condition and the sparse, Pickands and dense grids.
引用
收藏
页码：579 / 595
页数：17
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