For $X_i(t), i=1,\ldots, n, t\in [0,T]$ 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 $X_i(t),\ 1\leq i\leq n$ 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.
Categories: math.PR