A.J. Koning () V. Protasov () (FEW-Econometrie en besliskunde)
Abstract
In this paper we investigate the tail behaviour of a random variable which may be viewed as a functional of a zero mean Gaussian process, taking special interest in the situation where the Gaussian process 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 the random variable is described by means of a constant and a reference random variable which is defined on the same probability space as the random variable of interest. The constant acts as an upper bound, and is relevant for the computation of the efficiency of test statistics converging in distribution to the random variable of interest. The reference random variable acts as a lower bound, and is instrumental in deriving approximations for the upper percentage points of the random variable of interest by simulation.
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Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number
249.
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