Uniform tail approximation of homogenous functionals of Gaussian fields

Abstract

Let $X(t),t\in R^d$ be a centered Gaussian random field with continuous trajectories and set $ξ_u(t)= X(f(u)t),t\in R^d$ with $f$ some positive function. Classical results establish the tail asymptotics of $P\{ Γ(ξ_u) > u\}$ as $u\to \infty$ with $Γ(ξ_u)= \sup_{t \in [0,T ]^d} ξ_u(t),T>0$ by requiring that $f(u) \to 0$ with speed controlled by the local behaviour of the correlation function of $X$. Recent research shows that for applications more general continuous functionals than supremum should be considered and the Gaussian field can depend also on some additional parameter $τ_u \in K$, say $ξ_{u,τ_u}(t),t\in R^d$. In this contribution we derive uniform approximations of $P\{ Γ(ξ_{u,τ_u})> u\}$ with respect to $τ_u$ in some index set $K_u$, as $u\to\infty$. Our main result have important theoretical implications; two applications are already included in [10,11]. In this paper we present three additional ones, namely i) we derive uniform upper bounds for the probability of double-maxima, ii) we extend Piterbarg-Prisyazhnyuk theorem to some large classes of homogeneous functionals of centered Gaussian fields $ξ_{u}$, and iii) we show the finiteness of generalized Piterbarg constants.

25 pages