Tail approximations of integrals of Gaussian random fields

DOI10.1214/10-AOP639MaRDI QIDQ428142zbMATH OpenFDO

Authors Jingchen Liu

Publication date 19 June 2012

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.2837, https://projecteuclid.org/euclid.aop/1336136059

zbMATH Keywords

Gaussian random fieldextremesintegral of exponents of random fields

Mathematics Subject Classification ID

Large deviations (60F10) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: This paper develops asymptotic approximations of $P(in{t}_T{e}^{f(t)},dt>b)$ as $bightarrowinfty$ for a homogeneous smooth Gaussian random field, $f$, living on a compact $d$-dimensional Jordan measurable set $T$. The integral of an exponent of a Gaussian random field is an important random variable for many generic models in spatial point processes, portfolio risk analysis, asset pricing and so forth. The analysis technique consists of two steps: 1. evaluate the tail probability $P(in{t}_{Xi}{e}^{f(t)},dt>b)$ over a small domain $Xi$ depending on $b$, where $operatornamemes(Xi)ightarrow0$ as $bightarrowinfty$ and $operatornamemes(cdot)$ is the Lebesgue measure; 2. with $Xi$ appropriately chosen, we show that $P(in{t}_T{e}^{f(t)},dt>b)=(1+o(1))operatornamemes(T)imesoperatorname{mes}^{-1}(Xi)P(in{t}_{Xi}{e}^{f(t)},dt>b)$.

Recommendations

• On the density functions of integrals of Gaussian random fields
• A functional limit theorem for the integrals over level sets of a Gaussian random field
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• Tail probabilities of the maxima of Gaussian random fields
• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail

Cites work

• scientific article; zbMATH DE number 3114766 (Why is no real title available?)
• scientific article; zbMATH DE number 3688413 (Why is no real title available?)
• scientific article; zbMATH DE number 3751955 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 3560419 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• scientific article; zbMATH DE number 3347377 (Why is no real title available?)
• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
• A regression model for time series of counts
• An asymptotic formula for the distribution of the maximum of a Gaussian process with stationary increments
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Continuity of Gaussian Processes
• Efficient Monte Carlo for high excursions of Gaussian random fields
• Efficient simulation of tail probabilities of sums of correlated lognormals
• High level excursion set geometry for non-Gaussian infinitely divisible random fields
• Large deviations for random walks under subexponentiality: The big-jump domain
• Level Sets and Extrema of Random Processes and Fields
• Majorizing measures: The generic chaining
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• On autocorrelation in a Poisson regression model
• On some exponential functionals of Brownian motion
• On sums of conditionally independent subexponential random variables
• On the distribution of the maximum of a Gaussian field with \(d\) parameters
• Portfolio selection in a lognormal securities market
• Random Fields and Geometry
• Tail probabilities of the maxima of Gaussian random fields
• The Brunn-Minkowski inequality in Gauss space
• The Ehrhard inequality
• The integral of geometric Brownian motion
• The pricing of options and corporate liabilities
• Validity of the expected Euler characteristic heuristic
• Variance Reduction Techniques for Estimating Value-at-Risk

Cited in

(19)

• Sojourn measures of Student and Fisher-Snedecor random fields
• Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
• Extremes of spherical fractional Brownian motion
• Integrability and tail estimates for Gaussian rough differential equations
• Tail estimation of the spectral density for a stationary Gaussian random field
• Uniformly efficient simulation for extremes of Gaussian random fields
• Tail approximations to the density function in EVT
• Moderate deviation for random elliptic PDE with small noise
• Prediction intervals for integrals of Gaussian random fields
• Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
• Extreme analysis of a random ordinary differential equation
• On the density functions of integrals of Gaussian random fields
• Uniform tail approximation of homogenous functionals of Gaussian fields
• Limit theorems for excursion sets of stationary random fields
• On the tail probabilities of aggregated lognormal random fields with small noise
• Tail estimates for the Brownian excursion area and other Brownian areas
• Efficient rare event simulation for failure problems in random media
• Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields

This page was built for publication: Tail approximations of integrals of Gaussian random fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q428142)