Abstract:
Gaussian random fields on finite-dimensional smooth manifolds, whose variance
functions reach their maximum values at smooth submanifolds, are considered,
and the exact asymptotic behavior of large excursion probabilities is
established. It is shown that our conditions on the behavior of the
covariation and variance are best possible in the context of the classical
Pickands double sum method. Applications of our asymptotic formulas to large
deviations of Gaussian vector processes are considered, and some examples are
given. This paper continues the previous study of the author with Kobelkov,
Rodionov, and Hashorva [J. Math. Sci., 262 (2022), pp. 504–513]
which was concerned with Gaussian processes and fields on manifolds with
a single point of maximum of the variance.
Keywords:nonstationary random field, Gaussian vector process, Gaussian field, large excursion, Pickands method, double sum method.
Citation:
V. I. Piterbarg, “High excursion probabilities for gaussian fields won smooth manifolds”, Teor. Veroyatnost. i Primenen., 69:2 (2024), 369–392; Theory Probab. Appl., 69:2 (2024), 294–312