Advances in Applied Probability

On the density functions of integrals of Gaussian random fields

Jingchen Liu and Gongjun Xu

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In the paper 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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Adv. in Appl. Probab., Volume 45, Number 2 (2013), 398-424.

First available in Project Euclid: 10 June 2013

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Zentralblatt MATH identifier

Primary: 60F10: Large deviations 60G70: Extreme value theory; extremal processes

Gaussian random field integral density function


Liu, Jingchen; Xu, Gongjun. On the density functions of integrals of Gaussian random fields. Adv. in Appl. Probab. 45 (2013), no. 2, 398--424. doi:10.1239/aap/1370870124.

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