Extremes of chi-square processes with trend

• Autorzy: Liu P. , Ji L.
• Języki publikacji: EN

Abstrakty

EN

This paper studies the supremum of chi-square processes with trend over a threshold-dependent-time horizon. Under the assumptions that the chi-square process is generated from a centered self-similar Gaussian process and the trend function is modeled by a polynomial function, we obtain the exact tail asymptotics of the supremum of the chi-square proces with trend. These results are of interest in applications in engineering, insurance, queueing and statistics, etc. Some possible extensions of our results are also discussed.

Słowa kluczowe

EN

chi-square process; Gaussian random field; safety region; tail asymptotics; first passage time; Pickands constant; Piterbarg constant; Fernique-type inequality

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2016
• Tom: Vol. 36, Fasc. 1
• Strony: 1--20
• Opis fizyczny: Bibliogr. 36 poz.

Twórcy

autor

Liu P.

• School of Mathematical Sciences and LPMC, Nankai University
• Department of Actuarial Science, University of Lausanne, Quartier UNIL-Dorigny, Bâtiment Extranef, CH-1015 Lausanne, Switzerland

autor

Ji L.

• Department of Actuarial Science, University of Lausanne, Quartier UNIL-Dorigny, Bâtiment Extranef, CH-1015 Lausanne, Switzerland

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).