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- Albin, Patrik, 1960, et al.
(författare)
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Extremes and limit theorems for difference of chi-type processes
- 2016
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Ingår i: ESAIM - Probability and Statistics. - : EDP Sciences. - 1262-3318 .- 1292-8100. ; 20, s. 349-366
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Tidskriftsartikel (refereegranskat)abstract
- © 2016 EDP Sciences, SMAI. Let { m,k (k) (t),t≥ 0},κ > 0 be random processes defined as the differences of two independent stationary chi-type processes with m and k degrees of freedom. In this paper we derive the asymptotics of P supt [0,T[ m,k (k) (t) > u →∞, u→∞ under some assumptions on the covariance structures of the underlying Gaussian processes. Further, we establish a Berman sojourn limit theorem and a Gumbel limit result.
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