Asymptotic expansion of Gaussian chaos via probabilistic approach

DOI10.1007/S10687-015-0215-3zbMATH Open1337.60031OpenAlexW2006424859MaRDI QIDQ497481FDOQ497481

Authors Enkelejd Hashorva, V. I. Piterbarg, Dmitry Korshunov 

Publication date 24 September 2015

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.5857

zbMATH Keywords

asymptotic expansionrandom matricesWiener chaosdeterminantspolynomial chaosGaussian chaossubexponential distributionGaussian orthogonal ensemblemax-domain of attractionmultidimensional normal distributionrandom Gaussian clouds

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Large deviations (60F10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Random matrices (probabilistic aspects) (60B20) Multiplicative functionals and Markov processes (60J57)

Abstract: For a centered $d$-dimensional Gaussian random vector $xi=(x{i}_1,ldots,x{i}_d)$ and a homogeneous function $h:R^{d}oR$ we derive asymptotic expansions for the tail of the Gaussian chaos $h(xi)$ given the function $h$ is sufficiently smooth. Three challenging instances of the Gaussian chaos are the determinant of a Gaussian matrix, the Gaussian orthogonal ensemble and the diameter of random Gaussian clouds. Using a direct probabilistic asymptotic method, we investigate both the asymptotic behaviour of the tail distribution of $h(xi)$ and its density at infinity and then discuss possible extensions for some general $xi$ with polar representation.

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Cited in

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