High minima of non-smooth Gaussian processes

DOI10.1214/19-ECP251MaRDI QIDQ2274116zbMATH OpenOpenAlexFDO

Authors Zhixin Wu, Arijit Chakrabarty, Gennady Samorodnitsky

Publication date 19 September 2019

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.10894, https://projecteuclid.org/euclid.ecp/1568253715

zbMATH Keywords

Gaussian processhigh excursionsminima

Mathematics Subject Classification ID

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

Abstract: In this short note we study the asymptotic behaviour of the minima over compact intervals of Gaussian processes, whose paths are not necessarily smooth. We show that, beyond the logarithmic large deviation Gaussian estimates, this problem is closely related to the classical small-ball problem. Under certain conditions we estimate the term describing the correction to the large deviation behaviour. In addition, the asymptotic distribution of the location of the minimum, conditionally on the minimum exceeding a high threshold, is also studied.

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Cites work

• Asymptotic behaviour of high Gaussian minima
• Gaussian processes: Inequalities, small ball probabilities and applications
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
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• Tail behavior of sums and differences of log-normal random variables
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(4)

• Asymptotic behaviour of high Gaussian minima
• A limit theorem for the minimum and the minimum point of a ``noisy function
• Length of stationary Gaussian excursions
• Large deviations for high minima of Gaussian processes with nonnegatively correlated increments

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