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.
Original language | English |
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Pages (from-to) | 579-595 |
Number of pages | 17 |
Journal | Statistics |
Volume | 50 |
Issue number | 3 |
DOIs | |
Publication status | Published - 3 May 2016 |
Externally published | Yes |
Keywords
- Pickands constant
- Piterbarg max-discretization theorem
- discrete time process
- normal comparison lemma
- stationary chi-processes