Pickands' constant H_ does not equal 1/(1/), for small

DOI10.3150/15-BEJ757MaRDI QIDQ502892zbMATH OpenFDO

Authors Adam J. Harper

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.5505, https://projecteuclid.org/euclid.bj/1475001367

zbMATH Keywords

Pickands' constantsstationary Gaussian processessuprema of processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Abstract: Pickands' constants $H_{alpha}$ appear in various classical limit results about tail probabilities of suprema of Gaussian processes. It is an often quoted conjecture that perhaps $H_{alpha}=1/Gamma(1/alpha)$ for all $0<alphaleq2$, but it is also frequently observed that this doesn't seem compatible with evidence coming from simulations. We prove the conjecture is false for small $alpha$, and in fact that $H_{alpha}geq(1.1527{)}^{1/alpha}/Gamma(1/alpha)$ for all sufficiently small $alpha$. The proof is a refinement of the "conditioning and comparison" approach to lower bounds for upper tail probabilities, developed in a previous paper of the author. Some calculations of hitting probabilities for Brownian motion are also involved.

Recommendations

• A note on Humberstone's constant Ω
• Small Values of |L'/L(1,χ)|
• scientific article; zbMATH DE number 6533214
• Γ² (½)is more than just π
• On some results deduced from the equality \(R[1/\alpha] =R[1/(\alpha -a)]\)
• A bounding approach to calculating \(\alpha ^{1/p}\)
• The parameterized-Euler-constant function \(\gamma_{\alpha}(z)\)
• On the factor alpha in Peyre's constant
• The best constant for a kind of Picone inequality

Cited in

(15)

• Extremes of threshold-dependent Gaussian processes
• On generalised Piterbarg constants
• Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
• Approximation of sojourn times of Gaussian processes
• Drawdown and drawup for fractional Brownian motion with trend
• Approximating Shepp's constants for the Slepian process
• The time of ultimate recovery in Gaussian risk model
• Comparison inequalities for order statistics of Gaussian arrays
• Extremes of -reflected Gaussian processes with stationary increments
• On Extremal Index of max-stable stationary processes
• Remarks on Pickands' theorem
• Extremes of nonstationary Gaussian fluid queues
• Pickands' constant at first order in an expansion around Brownian motion
• scientific article; zbMATH DE number 7054953 (Why is no real title available?)
• A note on upper estimates for Pickands constants

This page was built for publication: Pickands' constant \(H_{\alpha}\) does not equal \(1/\Gamma(1/\alpha)\), for small \(\alpha\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q502892)