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Paper detail

On maxima of chi-processes over threshold dependent grids

In this paper, with motivation from [30] by Piterbarg (Extremes 7:161--177, 2004) 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 an 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.

preprint2015arXivOpen access
Chengxiu LingZhongquan Tan
math.PR
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Chengxiu LingZhongquan Tan

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