Asymptotic behaviour of high Gaussian minima

DOI10.1016/J.SPA.2017.09.008zbMATH Open1391.60068arXiv1605.03064OpenAlexW2963540142MaRDI QIDQ1635902FDOQ1635902

Authors: Arijit Chakrabarty, Gennady Samorodnitsky 

Publication date: 1 June 2018

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

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.

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

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zbMATH Keywords

Gaussian processminimaprecise asymptoticshigh excursions

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Level Sets and Extrema of Random Processes and Fields
• Random Fields and Geometry
• On the existence of paths between points in high level excursion sets of Gaussian random fields
• Regularity of Gaussian processes
• Sample functions of the Gaussian process
• Is the location of the supremum of a stationary process nearly uniformly distributed?
• The maximum of a Gaussian process with nonconstant variance: A sharp bound for the distribution tail
• Tail behavior of sums and differences of log-normal random variables

Cited In (6)

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

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