Tail behaviors of a class of generalized weighted Kolmogorov-Smirnov statistics

Ji, Lanpeng (School of Management and Engineering Vaud, HES-SO // University of Applied Sciences Western Switzerland) ; Liu, Peng (Department of Actuarial Science, University of Lausanne, UNIL-Dorigny 1015 Lausanne, Switzerland) ; Robert, Stephan (School of Management and Engineering Vaud, HES-SO // University of Applied Sciences Western Switzerland)

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.


Mots-clés:
Type d'article:
scientifique
Faculté:
Ingénierie et Architecture
Ecole:
HEIG-VD Haute Ecole d’Ingénierie et de Gestion du Canton de Vaud
Institut:
IICT - Institut des Technologies de l'Information et de la Communication
Classification:
Ingénierie
Date:
2018
Pagination:
17 p.
Publié dans
arXiv.org
Numérotation (vol. no.):
2018
Ressource(s) externe(s):
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 Notice créée le 2018-06-05, modifiée le 2018-10-05

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