Extremes of vector-valued Gaussian processes: Exact asymptotics

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_90A8C2D02EF6
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Extremes of vector-valued Gaussian processes: Exact asymptotics
Périodique
Stochastic Processes and their Applications
Auteur⸱e⸱s
Dȩbicki  K., Hashorva  E., Ji  L., Tabiś  K.
ISSN
0304-4149 (Print)
Statut éditorial
Publié
Date de publication
11/2015
Peer-reviewed
Oui
Volume
125
Numéro
11
Pages
4039-4065
Langue
anglais
Résumé
Let {X-i(t), t >= 0}, 1 <= i <= n be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of
P (there exists(t epsilon[0,T])for all(i=1),..,X-n(i)(t) > u) as u -> infinity
for both locally stationary X-i 's and X-i 's with a non-constant generalized variance function. Additionally, we analyze properties of multidimensional counterparts of the Pickands and Piterbarg constants that appear in the derived asymptotics. Important by-products of this contribution are the vector-process extensions of the Piterbarg inequality, the Borell-TIS inequality, the Slepian lemma and the Pickands Piterbarg lemma which are the main pillars of the extremal theory of vector-valued Gaussian processes.
Mots-clé
Gaussian process, Conjunction, Extremes, Double-sum method, Slepian lemma, Borell-TIS inequality, Piterbarg inequality, Generalized Pickands constant, Generalized Piterbarg constant, Pickands-Piterbarg lemma
Web of science
Création de la notice
28/05/2015 9:57
Dernière modification de la notice
21/08/2019 7:09
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