On maxima of chi-processes over threshold dependent grids |
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| Authors: | Chengxiu Ling |
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| Institution: | 1. School of Mathematics and Statistics, Southwest University, Beibei District, Chongqing, 400715, People's Republic of China;2. Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland |
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| Abstract: | In this paper, with motivation from Piterbarg VI Discrete and continuous time extremes of Gaussian processes. Extremes. 2004;7(2):161–177] and the considerable interest in stationary chi-processes, we derive asymptotic joint distributions of maxima of stationary strongly dependent chi-processes on a continuous time and a uniform grid on the real axis. Our findings extend those for Gaussian cases and give three involved dependence structures via the strongly dependence condition and the sparse, Pickands and dense grids. |
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| Keywords: | stationary chi-processes normal comparison lemma discrete time process Piterbarg max-discretization theorem Pickands constant |
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