2018/01/08 by Lanpeng Ji, Peng Liu, Ji, Lanpeng +3
Economics, Econometrics and Finance · Mathematics · #Financial Risk and Volatility Modeling #Mathematical Dynamics and Fractals #Stochastic processes and financial applications #math.PR
paper · pdf · doi:10.48550/arxiv.1801.02486
16 pages
arxiv created 2019/06/28 · arxiv updated 2019/07/01
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.