Asymptotic behaviour of high Gaussian minima

Authors

Arijit Chakrabarty, Indian Statistical Institute, Kolkata
Gennady Samorodnitsky, Cornell University

Article Type

Research Article

Publication Title

Stochastic Processes and their Applications

Abstract

We investigate what happens when an entire sample path of a smooth Gaussian process on a compact interval lies above a high level. Specifically, we determine the precise asymptotic probability of such an event, the extent to which the high level is exceeded, the conditional shape of the process above the high level, and the location of the minimum of the process given that the sample path is above a high level.

First Page

2297

Last Page

2324

DOI

10.1016/j.spa.2017.09.008

Publication Date

7-1-2018

Comments

All Open Access, Green

Recommended Citation

Chakrabarty, Arijit and Samorodnitsky, Gennady, "Asymptotic behaviour of high Gaussian minima" (2018). Journal Articles. 1335.
https://digitalcommons.isical.ac.in/journal-articles/1335