Large deviations of bivariate Gaussian extrema

DOI10.1007/S11134-019-09632-ZMaRDI QIDQ2297813zbMATH OpenOpenAlexWikidataFDO

Authors Remco van der Hofstad, Harsha Honnappa

Publication date 20 February 2020

Published in Queueing Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1903.11370

zbMATH Keywords

extreme value theorylarge deviationsbivariate normal distributionsnetworks of infinite server queues

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: We establish sharp tail asymptotics for component-wise extreme values of bivariate Gaussian random vectors with arbitrary correlation between the components. We consider two scaling regimes for the tail event in which we demonstrate the existence of a restricted large deviations principle, and identify the unique rate function associated with these asymptotics. Our results identify when the maxima of both coordinates are typically attained by two different vs. the same index, and how this depends on the correlation between the coordinates of the bivariate Gaussian random vectors. Our results complement a growing body of work on the extremes of Gaussian processes. The results are also relevant for steady-state performance and simulation analysis of networks of infinite server queues.

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Cited in

(4)

• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
• Moderate deviations inequalities for Gaussian process regression
• Extrema of multi-dimensional Gaussian processes over random intervals
• Large deviation for the empirical correlation coefficient of two Gaussian random variables

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