Tail behaviour of Gaussian processes with applications to the Brownian pillow

[摘要] 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. (C) 2003 Elsevier Science (USA). All rights reserved.

[发布日期] 2003-11-01

[关键词] tail behaviour;Gaussian processes;Brownian pillow;asymptotic distribution theory;Kolmogorov-type tests;Cramer-von Mises type tests;Anderson-Darling-type tests;multivariate constancy;multivariate independence