Lower tail probabilities for Gaussian processes.
The authors study the asymptotic behavior of lower tail probability for Gaussian random processes and their applications. Let \(X=(X_t)_{t\in S}\) be a real-valued centered Gaussian process indexed by \(S\). They first show a general estimate of the probability \(P(\sup_{t\in S}(X_t-X_{t_0})\leq x)\) as \(x\to 0\), with \(t_0\in S\) fixed, under mild conditions for the covariance. As the corollary, they obtain the asymptotics of lower tail probability for several stationary Gaussian processes. Especially, they identify its leading order for the fractional Brownian motion case. Their argument also works for the fractional Brownian motion pursuit problem. A lower bound of the main estimate is proved by combining a clever decomposition of time interval and Slepian's lemma. The LDP estimate for Gaussian process plays a crucial role in the argument. An upper bound is given by a comparison estimate with i.i.d. Gaussian random variables.
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- Asymptotic Properties of the Maximum in a Stationary Gaussian Process
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- Bounds for Determinants with Dominant Principal Diagonal
- Capture time of Brownian pursuits
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- Zero Crossing Probabilities for Gaussian Stationary Processes
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- The first exit time of a Brownian motion from an unbounded convex domain
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- Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
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- Approximating Shepp's constants for the Slepian process
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- Minima of \(H\)-valued Gaussian processes
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- On small deviations of stationary Gaussian processes and related analytic inequalities
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- Pickands-Piterbarg constants for self-similar Gaussian processes
- Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models
- Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes
- Persistence exponents via perturbation theory: Gaussian MA(1)-processes
- Persistence and ball exponents for Gaussian stationary processes
- Geometry of the Ising persistence problem and the universal Bonnet-Manin Painlevé VI distribution
- Small deviations for a family of smooth Gaussian processes
- Unilateral small deviations of processes related to the fractional Brownian motion
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