Polar sets for anisotropic Gaussian random fields

DOI10.1016/J.SPL.2010.01.018zbMATH Open1193.60068arXiv1208.0721OpenAlexW2112359133MaRDI QIDQ968471FDOQ968471

Authors: Jakob Söhl 

Publication date: 5 May 2010

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

Abstract: This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random field is dominated by an anisotropic metric. We deduce an upper bound for the hitting probabilities and conclude that sets with small Hausdorff dimension are polar. Moreover, the results allow for a translation of the Gaussian random field by a random field, that is independent of the Gaussian random field and whose sample functions are of bounded H"older norm.

Full work available at URL: https://arxiv.org/abs/1208.0721

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Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Fractals (28A80) Sample path properties (60G17)

Cites Work

• Sample path properties of anisotrophic Gaussian random fields
• Hitting probabilities and the Hausdorff dimension of the inverse images of anisotropic Gaussian random fields
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• Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
• Spectral calibration of exponential Lévy models
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Cited In (11)

• Polar functions for anisotropic Gaussian random fields
• Hitting probabilities and the Hausdorff dimension of the inverse images of a class of anisotropic random fields
• Title not available (Why is that?)
• Hitting probabilities of Gaussian random fields and collision of eigenvalues of random matrices
• Polarity of points for Gaussian random fields
• Nonparametric inference for discretely sampled Lévy processes
• Estimation and Calibration of Lévy Models via Fourier Methods
• Calibration of self-decomposable Lévy models
• Confidence sets in nonparametric calibration of exponential Lévy models
• Title not available (Why is that?)
• Quantile estimation for Lévy measures

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