Abstract Details
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Activity Number:
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635
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Type:
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Topic Contributed
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Date/Time:
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Thursday, August 7, 2014 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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Abstract #311486
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Title:
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Extreme Analysis of Exponential Integrals of Gaussian Random Fields
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Author(s):
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Jingchen Liu*+ and Gongjun Xu
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Companies:
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Columbia University and University of Minnesota, Twin Cities
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Keywords:
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Abstract:
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In this talk we consider tail events of the exponential integrals of Gaussian random fields living on a compact set. The results contain closed form approximations of the tail probabilities and an asymptotic representation of the conditional field given the occurrence of the tail events. The current analysis has applications to hypothesis testing of spatial point processes and portfolio risk analysis in finance.
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Authors who are presenting talks have a * after their name.
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