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  5. High minima of non-smooth Gaussian processes

High minima of non-smooth Gaussian processes

File(s)
GaussMin2Final.pdf (285.69 KB)
Permanent Link(s)
https://hdl.handle.net/1813/64277
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ORIE Technical Reports
Author
Wu, Zhixin
Chakrabarty, Arijit
Samorodnitsky, Gennady
Abstract

In this short note we study the asymptotic behaviour of the minima over compact intervals of Gaussian processes, whose paths are not necessarily smooth. We show that, beyond the logarithmic large deviation Gaussian estimates, this problem is closely related to the classical small-ball problem. Under certain conditions we estimate the term describing the correction to the large deviation behaviour. In addition, the asymptotic distribution of the location of the minimum, conditionally on the minimum exceeding a high threshold, is also studied.

Sponsorship
Chakrabarty's research was partially supported by the MATRICS grant of the the Science and Engineering Research Board, Government of India.
Samorodnitsky's research was partially supported by the ARO
grant W911NF-18 -10318 at Cornell University
Date Issued
2019-02-27
Keywords
Gaussian process
•
high excursion
•
minima
Type
preprint

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