Extremes of vector-valued Gaussian processes: exact asymptotics

DOI10.1016/J.SPA.2015.05.015zbMATH Open1321.60108arXiv1505.06461OpenAlexW1761016215MaRDI QIDQ491173FDOQ491173

Authors: Enkelejd Hashorva, Lanpeng Ji, Kamil Tabiś, Krzysztof Dȩbicki 

Publication date: 24 August 2015

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

Abstract: Let $X_i(t),tge0,1leilen$ be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of ${\displaystyle }$ Pleft(exists_{t in [0,T]} forall_{i=1 ... n} X_i(t)> u ight) ${\displaystyle }$ as $uoinfty$, for both locally stationary $X_i$'s and $X_i$'s with a non-constant generalized variance function. Additionally, we analyze properties of multidimensional counterparts of the Pickands and Piterbarg constants, that appear in the derived asymptotics. Important by-products of this contribution are the vector-process extensions of the Piterbarg inequality, the Borell-TIS inequality, the Slepian lemma and the Pickands-Piterbarg lemma which are the main pillars of the extremal theory of vector-valued Gaussian processes.

Full work available at URL: https://arxiv.org/abs/1505.06461

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zbMATH Keywords

extremesgeneralized Pickands constantgeneralized Piterbarg constantdouble-sum methodSlepian lemmaBorell-TIS inequalityPickands-Piterbarg lemmaPiterbarg inequalityvector-valued Gaussian processes

Mathematics Subject Classification ID

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

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