Uniform tail approximation of homogenous functionals of Gaussian fields

DOI10.1017/APR.2017.33MaRDI QIDQ5233200zbMATH OpenOpenAlexFDO

Authors Krzysztof Dȩbicki, Peng Liu, Enkelejd Hashorva

Publication date 16 September 2019

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.01430

zbMATH Keywords

double maximafractional Brownian motiongeneralized Piterbarg constantstationary processsupremum of Gaussian random fieldsuniform double-sum method

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Let $X(t),tin{R}^d$ be a centered Gaussian random field with continuous trajectories and set $x{i}_u(t)=X(f(u)t),tin{R}^d$ with $f$ some positive function. Classical results establish the tail asymptotics of $PGamma(x{i}_u)>u$ as $uoinfty$ with $Gamma(x{i}_u)=su{p}_{tin[0,T{]}^d}x{i}_u(t),T>0$ by requiring that $f(u)o0$ with speed controlled by the local behaviour of the correlation function of $X$. Recent research shows that for applications more general continuous functionals than supremum should be considered and the Gaussian field can depend also on some additional parameter $a{u}_{u}inK$, say $x{i}_{u,a{u}_u}(t),tin{R}^d$. In this contribution we derive uniform approximations of $PGamma(x{i}_{u,a{u}_u})>u$ with respect to $a{u}_u$ in some index set $K_u$, as $uoinfty$. Our main result have important theoretical implications; two applications are already included in [10,11]. In this paper we present three additional ones, namely i) we derive uniform upper bounds for the probability of double-maxima, ii) we extend Piterbarg-Prisyazhnyuk theorem to some large classes of homogeneous functionals of centered Gaussian fields $x{i}_u$, and iii) we show the finiteness of generalized Piterbarg constants.

Recommendations

• scientific article; zbMATH DE number 3862157
• Extremes of homogeneous Gaussian random fields
• Asymptotics of large deviation probabilities for Gaussian fields
• Tail approximations of integrals of Gaussian random fields
• Extremes of a class of nonhomogeneous Gaussian random fields

Cites work

• Crude asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional
• Exact overflow asymptotics for queues with many Gaussian inputs
• Exact simulation of Brown-Resnick random fields at a finite number of locations
• Extremes of a certain class of Gaussian processes
• Extremes of a class of nonhomogeneous Gaussian random fields
• Extremes of Gaussian processes over an infinite horizon
• Extremes of Gaussian random fields with regularly varying dependence structure
• Extremes of multidimensional Gaussian processes
• Extremes of stationary Gaussian storage models
• Generalized Pickands constants and stationary max-stable processes
• scientific article; zbMATH DE number 107615 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• scientific article; zbMATH DE number 3381615 (Why is no real title available?)
• Level Sets and Extrema of Random Processes and Fields
• On asymptotic constants in the theory of extremes for Gaussian processes
• On Extremal Index of max-stable stationary processes
• On the infimum attained by the reflected fractional Brownian motion
• On the ruin probability for physical fractional Brownian motion
• Parisian ruin of self-similar Gaussian risk processes
• Parisian ruin over a finite-time horizon
• Random Fields and Geometry
• Ruin probability for Gaussian integrated processes.
• Sojourns and extremes of stationary processes
• Stationary systems of Gaussian processes
• Tail asymptotics for the extremes of bivariate Gaussian random fields
• Twenty lectures about Gaussian processes
• Upcrossing Probabilities for Stationary Gaussian Processes

Cited in

(26)

• Normal approximation of a functional of a Gaussian field
• Extremes of threshold-dependent Gaussian processes
• Extremes of vector-valued Gaussian processes with trend
• Extremes of Gaussian random fields with regularly varying dependence structure
• On generalised Piterbarg constants
• Extrema of a Gaussian random field: Berman's sojourn time method
• Approximation of sojourn times of Gaussian processes
• Extremes of vector-valued Gaussian processes
• Sojourn times of Gaussian processes with trend
• On generalized Berman constants
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
• Drawdown and drawup for fractional Brownian motion with trend
• Extremes of spherical fractional Brownian motion
• The time of ultimate recovery in Gaussian risk model
• Estimation of change-point models
• scientific article; zbMATH DE number 1166249 (Why is no real title available?)
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Pickands-Piterbarg constants for self-similar Gaussian processes
• Extremes of L^p-norm of vector-valued Gaussian processes with trend
• Approximation of Kolmogorov-Smirnov test statistic
• Extremes of nonstationary Gaussian fluid queues
• scientific article; zbMATH DE number 7662453 (Why is no real title available?)
• Sojourns of fractional Brownian motion queues: transient asymptotics
• Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
• Sojourns of locally self-similar Gaussian processes
• Extremes of Gaussian fields with a product term in the variance

This page was built for publication: Uniform tail approximation of homogenous functionals of Gaussian fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5233200)