Extremes of vector-valued Gaussian processes: exact asymptotics
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Abstract: Let be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of Pleft(exists_{t in [0,T]} forall_{i=1 ... n} X_i(t)> u
ight) as , for both locally stationary 's and 's with a non-constant generalized variance function. Additionally, we analyze properties of multidimensional counterparts of the Pickands and Piterbarg constants, that appear in the derived asymptotics. Important by-products of this contribution are the vector-process extensions of the Piterbarg inequality, the Borell-TIS inequality, the Slepian lemma and the Pickands-Piterbarg lemma which are the main pillars of the extremal theory of vector-valued Gaussian processes.
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