Probability tails of Gaussian extrema
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A linear map L from the Hilbert space H into the real Gaussian variables with E Lx\(=0\), E LxLy\(=(x,y)\) is called isonormal Gaussian process. Inequalities on the tail of the distribution \(P\{\sup_{x\in {\mathcal C}}Lx>\lambda \}\) (where \({\mathcal C}\) is a suitable subset of H) are given. The results are used to prove similar inequalities for set-indexed Brownian sheet and Brownian bridge.
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Cites work
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Cited in
(25)- Tail behaviour for the suprema of Gaussian processes with applications to empirical processes
- Tail behaviour of Gaussian processes with applications to the Brownian pillow.
- On excursion sets, tube formulas and maxima of random fields.
- Extremes of totally skewed \(\alpha \)-stable processes
- Extremal behavior of hitting a cone by correlated Brownian motion with drift
- On covariance functions with slowly or regularly varying modulo of continuity
- Extremes of Gaussian random fields with regularly varying dependence structure
- Generalized Pickands constants and stationary max-stable processes
- Accessing the power of tests based on set-indexed partial sums of multivariate regression residuals
- Sojourn times of Gaussian processes with trend
- Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
- Minima of \(H\)-valued Gaussian processes
- Extremes of Gaussian chaos processes with trend
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- Monte Carlo estimates of extremes of stationary/nonstationary Gaussian processes
- Four finite dimensional (FD) surrogates for continuous random processes
- Harmonizable nonstationary processes
- Microstructure models for extreme material responses
- Extremes of nonstationary harmonizable processes
- Heat content for Gaussian processes: small-time asymptotic analysis
- Exceptional times and invariance for dynamical random walks
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