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Teoriya Veroyatnostei i ee Primeneniya, 2024, Volume 69, Issue 2, Pages 369–392
DOI: https://doi.org/10.4213/tvp5652
(Mi tvp5652)
 

High excursion probabilities for gaussian fields won smooth manifolds

V. I. Piterbargabc

a Lomonosov Moscow State University
b National Research University Higher School of Economics, Moscow
c Scientific Research Institute for System Analysis of the Russian Academy of Sciences, Moscow
References:
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.
Received: 18.05.2023
English version:
Theory of Probability and its Applications, 2024, Volume 69, Issue 2, Pages 294–312
DOI: https://doi.org/10.1137/S0040585X97T991921
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Pit24}
\by V.~I.~Piterbarg
\paper High excursion probabilities for gaussian fields won smooth manifolds
\jour Teor. Veroyatnost. i Primenen.
\yr 2024
\vol 69
\issue 2
\pages 369--392
\mathnet{http://mi.mathnet.ru/tvp5652}
\crossref{https://doi.org/10.4213/tvp5652}
\transl
\jour Theory Probab. Appl.
\yr 2024
\vol 69
\issue 2
\pages 294--312
\crossref{https://doi.org/10.1137/S0040585X97T991921}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85202515014}
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    Теория вероятностей и ее применения Theory of Probability and its Applications
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    References:24
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