Extremes of vector-valued Gaussian processes
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Publication:2196388
Abstract: The seminal papers of Pickands [1,2] paved the way for a systematic study of high exceedance probabilities of both stationary and non-stationary Gaussian processes. Yet, in the vector-valued setting, due to the lack of key tools including Slepian's Lemma, Borell-TIS and Piterbarg inequalities there has not been any methodological development in the literature for the study of extremes of vector-valued Gaussian processes. In this contribution we develop the uniform double-sum method for the vector-valued setting obtaining the exact asymptotics of the exceedance probabilities for both stationary and non-stationary Gaussian processes. We apply our findings to the operator fractional Brownian motion and the operator fractional Ornstein-Uhlenbeck process.
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(22)- Extremes of vector-valued locally additive Gaussian fields with application to double crossing probabilities
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