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Article Dans Une Revue Methodology and Computing in Applied Probability Année : 2014

The supremum of Chi-Square processes

Résumé

We describe a lower bound for the critical value of the supremum of a Chi-Square process. This bound can be approximated using a MCQMC simulation. We compare numerically this bound with the upper bound given by Davies, only suitable for a regular Chi-Square process. In a second part, we focus a non regular Chi-Square process : the Ornstein-Uhlenbeck Chi-Square process. Recently, Rabier et al. (2009) have shown that this process has an application in genetics : it is the limiting process of the likelihood ratio test process related to the test of a gene on an interval representing a chromosome. Using results from \citet{del}, we propose a theoretical formula for the supremum of such a process and we compare it in particular with our simulated lower bound.
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Dates et versions

hal-00658577 , version 1 (10-01-2012)

Identifiants

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Charles-Elie Rabier, Alan Genz. The supremum of Chi-Square processes. Methodology and Computing in Applied Probability, 2014, 16 (3), pp.715-729. ⟨10.1007/s11009-013-9331-1⟩. ⟨hal-00658577⟩
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