Template-Type: ReDIF-Paper 1.0
Author-Name: Koning, A.J.
Author-Name-Last: Koning
Author-Name-First: Alex
Author-Name: Protassov, V.
Author-Name-Last: Protassov
Author-Name-First: Vladimir
Title: Tail behaviour of Gaussian processes with applications to the Brownian pillow
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 ocurring in nonparametric testing of [multivariate] indepencency 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 approximations for the upper percentage points of S by simulation.
Creation-Date: 2001-12-31
File-URL: https://repub.eur.nl/pub/591/feweco20020115122231.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2001-49
Keywords: Anderson-Darling type tests, Asymptotic distribution theory, Brownian pillow, Cramer-von Mises type tests, Gaussian processes, Kolmogorov type tests, Multivariate constancy, Multivariate independence, Tail behaviour
Handle: RePEc:ems:eureir:591