Amsterdam Applied Probability Seminar: Asymptotic behaviour of high Gaussian minima  - VVSOR - VVSOR

Vereniging voor Statistiek en Operations Research
11 April 2019

Amsterdam Applied Probability Seminar: Asymptotic behaviour of high Gaussian minima 

Please feel free to join the Amsterdam Applied Probability Seminar on Thursday April 11. Next week’s speaker will be Arijit Chakrabarty from ISI (Indian Statistical Institute) Kolkata.

Time: 14:00-15:00 (Thursday, April 11)

Location: F1.15 (KdVI, Amsterdam)

Title: Asymptotic behaviour of high Gaussian minima

ABSTRACT: We investigate what happens when an entire sample path of a 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. The method of answering the questions are different for smooth and non-smooth processes. The former case is analyzed in much more details than the latter. This is a joint work with Gennady Samorodnitsky and Zhixin Wu.

 

– Krzysztof Bisewski, Mariska Heemskerk and Sven Karbach (organisers)