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Extremes of vector-valued Gaussian processes

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  • Dȩbicki, Krzysztof
  • Hashorva, Enkelejd
  • Wang, Longmin

Abstract

The seminal papers of Pickands (Pickands, 1967; Pickands, 1969) paved the way for a systematic study of high exceedance probabilities of both stationary and non-stationary Gaussian processes. Yet, in the vector-valued setting, due to the lack of key tools including Slepian’s Lemma, there has not been any methodological development in the literature for the study of extremes of vector-valued Gaussian processes. In this contribution we develop the uniform double-sum method for the vector-valued setting, obtaining the exact asymptotics of the high exceedance probabilities for both stationary and n on-stationary Gaussian processes. We apply our findings to the operator fractional Brownian motion and Ornstein–Uhlenbeck process.

Suggested Citation

  • Dȩbicki, Krzysztof & Hashorva, Enkelejd & Wang, Longmin, 2020. "Extremes of vector-valued Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5802-5837.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:9:p:5802-5837
    DOI: 10.1016/j.spa.2020.04.008
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    References listed on IDEAS

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    1. Dieker, A.B., 2005. "Extremes of Gaussian processes over an infinite horizon," Stochastic Processes and their Applications, Elsevier, vol. 115(2), pages 207-248, February.
    2. Dȩbicki, Krzysztof & Hashorva, Enkelejd & Ji, Lanpeng & Rolski, Tomasz, 2018. "Extremal behavior of hitting a cone by correlated Brownian motion with drift," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4171-4206.
    3. Worsley, K. J. & Friston, K. J., 2000. "A test for a conjunction," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 135-140, April.
    4. Dȩbicki, Krzysztof & Hashorva, Enkelejd & Ji, Lanpeng & Tabiś, Kamil, 2015. "Extremes of vector-valued Gaussian processes: Exact asymptotics," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4039-4065.
    5. Debicki, K. & Kosinski, K.M. & Mandjes, M. & Rolski, T., 2010. "Extremes of multidimensional Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2289-2301, December.
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    1. Bisewski, Krzysztof & Dȩbicki, Krzysztof & Kriukov, Nikolai, 2023. "Simultaneous ruin probability for multivariate Gaussian risk model," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 386-408.

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