Tail Asymptotic Behavior of the supremum of a class of chi-square processes

Abstract: In this paper, we analyze a multivariate counterpart of the generalized weighted Kolmogorov-Smirnov statistic, which is the supremum of weighted locally stationary chi-square process over non-compact interval. The boundedness and the exact tail asymptotic behavior of the statistics are derived. We illustrate our findings by two examples where the statistic is defined by Brownian bridge and fractional Brownian motion respectively.