Large deviations for high minima of Gaussian processes with nonnegatively correlated increments

DOI10.1016/J.SPL.2023.110001arXiv2103.04501OpenAlexW3133540581MaRDI QIDQ6152259FDOQ6152259

Authors: Zachary Selk 

Publication date: 13 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In this article we prove large deviations principles for high minima of Gaussian processes with nonnegatively correlated increments on arbitrary intervals. Furthermore, we prove large deviations principles for the increments of such processes on intervals $[a,b]$ where $b-a$ is either less than the increment or twice the increment, assuming stationarity of the increments. As a chief example, we consider fractional Brownian motion and fractional Gaussian noise for $Hgeq1/2$.

Full work available at URL: https://arxiv.org/abs/2103.04501

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zbMATH Keywords

Gaussian processeslarge deviations

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Fractional processes, including fractional Brownian motion (60G22) Queueing theory (aspects of probability theory) (60K25)

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