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This article is cited in 1 scientific paper (total in 1 paper)
Massive excursions of Gaussian isotropic fields. Method of moments
V. I. Piterbargabc a Lomonosov Moscow State University
b National Research University "Moscow Power Engineering Institute"
c Scientific Research Institute for System Analysis of the Russian Academy of Sciences, Moscow
Abstract:
The asymptotic behavior of probability of large massive excursions
above a high level is evaluated for Gaussian isotropic twice
differentiable Gaussian fields. A massive excursion is the excursion with base
diameter exceeding a fixed positive number. For proofs, we introduce and study
a vector Gaussian process with components that are independent copies of the
initial field, and consider the point process of exits of trajectories of this process
from an appropriate infinitely expanding set. By studying the asymptotic behavior of the first
and second moments of distribution of this point process, the desired asymptotic behavior
is obtained. Moreover, general results on the logarithmic (rough)
asymptotic behavior of the large massive excursion probabilities are put forward.
Keywords:
Gaussian field, massive excursions, Rice moment method, point process, critical points of excursions.
Received: 23.01.2017 Revised: 12.10.2017
Citation:
V. I. Piterbarg, “Massive excursions of Gaussian isotropic fields. Method of moments”, Teor. Veroyatnost. i Primenen., 63:2 (2018), 240–259; Theory Probab. Appl., 63:2 (2018), 193–208
Linking options:
https://www.mathnet.ru/eng/tvp5120https://doi.org/10.4213/tvp5120 https://www.mathnet.ru/eng/tvp/v63/i2/p240
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Abstract page: | 359 | Full-text PDF : | 41 | References: | 43 | First page: | 12 |
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