Uniform tail approximation of homogenous functionals of Gaussian fields

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Serval ID
serval:BIB_C1E52E151C8F
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Uniform tail approximation of homogenous functionals of Gaussian fields
Journal
Advances in Applied Probability
Author(s)
Dȩbicki K., Hashorva E., Liu P.
ISSN
0001-8678
1475-6064
Publication state
Published
Issued date
12/2017
Peer-reviewed
Oui
Volume
49
Number
04
Pages
1037-1066
Language
english
Abstract

Let X(t), t ∈ ℝ d , be a centered Gaussian random field with continuous trajectories and set ξ u (t) = X(f(u)t), t ∈ ℝ d , with f some positive function. Using classical results we can establish the tail asymptotics of ℙ{Γ(ξ u ) > u} as u → ∞ with Γ(ξ u ) = sup t ∈ [0, T] d ξ u (t), T > 0, by requiring that f(u) tends to 0 as u → ∞ with speed controlled by the local behavior of the correlation function of X. Recent research shows that for applications, more general functionals than the supremum should be considered and the Gaussian field can depend also on some additional parameter τ u ∈ K say ξ u,τ u (t), t ∈ ℝ d . In this paper we derive uniform approximations of ℙ{Γ(ξ u,τ u ) > u} with respect to τ u , in some index set K u as u → ∞. Our main result has important theoretical implications; two applications are already included in Dȩbicki et al. (2016), (2017). In this paper we present three additional applications. First we derive uniform upper bounds for the probability of double maxima. Second, we extend the Piterbarg–Prisyazhnyuk theorem to some large classes of homogeneous functionals of centered Gaussian fields ξ u . Finally, we show the finiteness of generalized Piterbarg constants.
Keywords
Fractional Brownian motion, supremum of Gaussian random fields, stationary process, double maxima, uniform double-sum method, generalized Piterbarg constant
Create date
06/06/2017 22:12
Last modification date
20/08/2019 16:36
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