Asymptotic behaviour of high Gaussian minima

DOI10.1016/J.SPA.2017.09.008zbMATH Open1391.60068OpenAlexW2963540142MaRDI QIDQ1635902FDOQ1635902

Authors Arijit Chakrabarty, Gennady Samorodnitsky

Publication date 1 June 2018

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.03064

zbMATH Keywords

Gaussian processminimaprecise asymptoticshigh excursions

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We investigate what happens when an entire sample path of a smooth Gaussian process on a compact interval lies above a high level. Specifically, we determine the precise asymptotic probability of such an event, the extent to which the high level is exceeded, the conditional shape of the process above the high level, and the location of the minimum of the process given that the sample path is above a high level.

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Cites work

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Cited in

(7)

• Large deviations for high minima of Gaussian processes with nonnegatively correlated increments
• High minima of non-smooth Gaussian processes
• A variance-sensitive Gaussian concentration inequality
• Length of stationary Gaussian excursions
• High level exceeding probability of a Gaussian process with constant variance and variable smoothness
• Implicit extremes and implicit max-stable laws
• Percolation of strongly correlated Gaussian fields. I: Decay of subcritical connection probabilities

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