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Extremes of Locally-stationary Chi-square processes on discrete grids (1807.11687v1)
Published 31 Jul 2018 in math.PR
Abstract: For $X_i(t), i=1,\ldots, n, t\in [0,T]$ centered Gaussian processes, the chi-square process $\sum_{i=1}{n}X_i2(t)$ appears naturally as limiting processes in various statistical models. In this paper, we are concerned with the exact tail asymptotics of the supremum taken over discrete grids of a class of locally stationary chi-square processes where $X_i(t),\ 1\leq i\leq n$ are not identical. An important tool for establishing our results is a generalisation of Pickands lemma under the discrete scenario. An application related to the change-point problem is discussed.