Asymptotic behaviour of high Gaussian minima
Arijit Chakrabarty and
Stochastic Processes and their Applications, 2018, vol. 128, issue 7, 2297-2324
We investigate what happens when an entire sample path of a smooth Gaussian process on a compact interval lies above a high level. Specifically, we determine the precise asymptotic probability of such an event, the extent to which the high level is exceeded, the conditional shape of the process above the high level, and the location of the minimum of the process given that the sample path is above a high level.
Keywords: Gaussian process; High excursions; Minima; Precise asymptotics (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:7:p:2297-2324
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