Extremes of Locally-stationary Chi-square processes on discrete grids

Abstract

For $X_i(t),i=1,\dots ,n,t\in [0,T]$ centered Gaussian processes, the chi-square process ${\sum }_{i=1}^n{X}_i^2(t)$ appears naturally as limiting processes in various statistical models. In this paper, we are concerned with the exact tail asymptotics of the supremum taken over discrete grids of a class of locally stationary chi-square processes where $X_i(t),1\le i\le n$ are not identical. An important tool for establishing our results is a generalisation of Pickands lemma under the discrete scenario. An application related to the change-point problem is discussed.