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Abstract Details

Activity Number: 345
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #304749
Title: On the Density Functions of Integrals of Gaussian Random Fields
Author(s): Gongjun Xu*+ and Jingchen Liu
Companies: Columbia University and Columbia University
Address: , New York, NY, 10027, United States
Keywords: Gaussian random fields ; integral ; density function ; change of measure

In the talk, we consider the density functions of random variables that can be written as integrals of exponential functions of Gaussian random fields. In particular, we provide closed form asymptotic bounds for the density functions and under smoothness conditions we derive exact tail approximations of the density functions.

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