Tail behaviour of Gaussian processes with applications to the Brownian pillow |
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Authors: | Alex J. Koning Vladimir Protasov |
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Affiliation: | Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738 NL-3000 DR, Rotterdam, Netherlands |
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Abstract: | In this paper we investigate the tail behaviour of a random variable S which may be viewed as a functional T of a zero mean Gaussian process X, taking special interest in the situation where X obeys the structure which is typical for limiting processes occurring in nonparametric testing of (multivariate) independency and (multivariate) constancy over time. The tail behaviour of S is described by means of a constant a and a random variable R which is defined on the same probability space as S. The constant a acts as an upper bound, and is relevant for the computation of the efficiency of test statistics converging in distribution to S. The random variable R acts as a lower bound, and is instrumental in deriving approximation for the upper percentage points of S by simulation. |
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Keywords: | Tail behaviour Gaussian processes Brownian pillow Asymptotic distribution theory Kolmogorov-type tests Cramé r– von Mises type tests Anderson– Darling-type tests Multivariate constancy Multivariate independence |
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