Related papers: Tail approximations of integrals of Gaussian rando…

This article discusses modelling of the tail of a multivariate distribution function by means of a large deviation principle (LDP), and its application to the estimation of the probability of a multivariate extreme event from a sample of n…

We obtain an asymptotic expansion for the tails of the random variable $\tcal=\arg\max_{u\in\mathbb{R}}(\mathcal{A}_2(u)-u^2)$ where $\mathcal{A}_2$ is the Airy$_2$ process. Using the formula of Schehr \cite{Sch} that connects the density…

We develop a general approach to Stein's method for approximating a random process in the path space $D([0,T]\to R^d)$ by a real continuous Gaussian process. We then use the approach in the context of processes that have a representation as…

Gaussian processes have been successful in both supervised and unsupervised machine learning tasks, but their computational complexity has constrained practical applications. We introduce a new approximation for large-scale Gaussian…

We obtain in this paper using the saddle point method the expression for the exact asymptotic for the tail of maximum of smooth (twice continuous differentiable) random field (process) distribution.

We derive exact tail asymptotics of sojourn time above the level $u\geq 0$ $$ \mathbb{P}\left(v(u)\int_0^T \mathbb{I}(X(t)-ct>u)d t>x\right), \quad x\geq 0 $$ as $u\to\infty$, where $X$ is a Gaussian process with continuous sample paths,…

Asymptotic theory of tail index estimation has been studied extensively in the frequentist literature on extreme values, but rarely in the Bayesian context. We investigate whether popular Bayesian kernel mixture models are able to support…

Let $(X_n:n\geq 0)$ be a sequence of i.i.d. r.v.'s with negative mean. Set $S_0=0$ and define $S_n=X_1+... +X_n$. We propose an importance sampling algorithm to estimate the tail of $M=\max \{S_n:n\geq 0\}$ that is strongly efficient for…

Under K.-T. Sturm's formulation, we obtain a Gaussian upper bound for tail probability of mean value of independent, identically distributed random variables with values in $\mathbb{R}$-trees and Hadamard manifolds.

Motivated by the problem of testing for the existence of a signal of known parametric structure and unknown ``location'' (as explained below) against a noisy background, we obtain for the maximum of a centered, smooth random field an…

We study tail probabilities via some Gaussian approximations. Our results make refinements to large deviation theory. The proof builds on classical results by Bahadur and Rao. Binomial distributions and their tail probabilities are…

The paper contains results in three areas: First we present a general estimate for tail probabilities of Gaussian quadratic forms with known expectation and variance. Thereafter we analyze the distribution of norms of complex Gaussian…

This paper is concerned with the asymptotic analysis of sojourn times of random fields with continuous sample paths. Under a very general framework we show that there is an interesting relationship between tail asymptotics of sojourn times…

Let $\Lambda$ be the limiting smallest eigenvalue in the general (\beta, a)-Laguerre ensemble of random matrix theory. Here \beta>0, a >-1; for \beta=1,2,4 and integer a, this object governs the singular values of certain rank n Gaussian…

We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete characterization of regular variation on cones in $[0,\infty)^d$…

This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity. I use data augmentation schemes to render the model conditionally Gaussian and…

We provide a generalisation of Pinelis' Rademacher-Gaussian tail comparison to complex coefficients. We also establish uniform bounds on the probability that the magnitude of weighted sums of independent random vectors uniform on Euclidean…

We consider the quantum dynamics of a particle on a lattice for large times. Assuming translation invariance, and either discrete or continuous time parameter, the distribution of the ballistically scaled position $Q(t)/t$ converges weakly…

Let $X$ be lognormal$(\mu,\sigma^2)$ with density $f(x)$, let $\theta>0$ and define ${L}(\theta)=E e^{-\theta X}$. We study properties of the exponentially tilted density (Esscher transform) $f_\theta(x) =e^{-\theta x}f(x)/{L}(\theta)$, in…

We consider Bayesian inference problems with computationally intensive likelihood functions. We propose a Gaussian process (GP) based method to approximate the joint distribution of the unknown parameters and the data. In particular, we…