Asymptotic expansion of Gaussian chaos via probabilistic approach

DOI10.1007/S10687-015-0215-3zbMATH Open1337.60031arXiv1307.5857OpenAlexW2006424859MaRDI QIDQ497481FDOQ497481

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

Publication date: 24 September 2015

Published in: Extremes (Search for Journal in Brave)

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.

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

Recommendations

• Some asymptotic formulae for Gaussian distributions
• High extrema of Gaussian chaos processes
• A geometric approach to an asymptotic expansion for large deviation probabilities of Gaussian random vectors
• Asymptotics and bounds for multivariate Gaussian tails
• Large extremes of Gaussian chaos processes

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Extremes of aggregated Dirichlet risks
• Title not available (Why is that?)
• An introduction to random matrices
• Gaussian Hilbert Spaces
• A Bound on Tail Probabilities for Quadratic Forms in Independent Random Variables
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Title not available (Why is that?)
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• Subexponentiality of the product of independent random variables
• High excursions for nonstationary generalized chi-square processes
• On extremal behavior of Gaussian chaos
• A formula for the tail probability of a multivariate normal distribution and its applications
• Exact tail asymptotics in bivariate scale mixture models
• Title not available (Why is that?)
• Estimates of moments and tails of Gaussian chaoses
• Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
• Tail and moment estimates for some types of chaos
• Tail behaviour of multiple random integrals and \(U\)-statistics
• On decoupling, series expansions, and tail behavior of chaos processes
• Tail probabilities for weighted sums of products of normal random variables
• Concerning a Certain Probability Problem
• Title not available (Why is that?)
• On the infinite sums of deflated Gaussian products
• Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
• A ratio limit theorem for the tails of weighted sums
• Asymptotics of the norm of elliptical random vectors
• Densities with Gaussian Tails
• A geometric approach to an asymptotic expansion for large deviation probabilities of Gaussian random vectors
• On a multivariate version of Bernstein's inequality
• Moments of the Gaussian Chaos
• Zum asymptotischen Verhalten der Verteilungen und der Dichten gewisser Funktionale Gauss'scher Zufallsvektoren
• Title not available (Why is that?)
• Asymptotic distribution of the normal sample range

Cited In (17)

• Extremes of Gaussian fields with a smooth random variance
• Extended classical asymptotic expansions in the case of Gaussian limit distribution
• Extremes of Gaussian chaos processes with trend
• Asymptotic expansions for bivariate normal extremes
• Computation and analysis of the asymptotic expansions of the compound means
• High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach
• Large extremes of Gaussian chaos processes
• High extrema of Gaussian chaos processes
• Expansion of the density: A Wiener-chaos approach
• Method of Moments for Exit Probabilities of Gaussian Vector Processes From a Large Region
• On the asymptotic Laplace method and its application to random chaos
• Multidimensional Watson lemma and its applications
• Extremes of randomly scaled Gumbel risks
• High excursions of a quadratic form for a Gaussian stationary vector process
• An Erdős-Révész type law of the iterated logarithm for order statistics of a stationary Gaussian process
• On probability of high extremes of Gaussian fields with a smooth random trend
• Extremes and limit theorems for difference of chi-type processes

This page was built for publication: Asymptotic expansion of Gaussian chaos via probabilistic approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q497481)