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

fractional Brownian motionstationary processgeneralized Piterbarg constantuniform double-sum methoddouble maximasupremum of Gaussian random fields

Mathematics Subject Classification ID

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

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.

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Cited in

(24)

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