Conjunction probability of smooth centered Gaussian processes

DOI10.1007/S40306-019-00351-4MaRDI QIDQ2209804zbMATH OpenOpenAlexFDO

Authors Viet-Hung Pham

Publication date 4 November 2020

Published in Acta Mathematica Vietnamica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.07086

zbMATH Keywords

Gaussian processesRice formulaPickands constantEuler characteristic methodconjunction probability

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Nonparametric statistical resampling methods (62G09)

Abstract: In this paper we provide an upper bound for the conjunction probability of independent Gaussian smooth processes and then we prove that this bound is a good approximation with exponentially smaller error. Our result confirms the heuristic approximation by Euler characteristic method of Worsley and Friston and also implies the exact value of generalized Pickands constant in a special case. Some results for conjunction probability of correlated processes are also discussed.

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Cites work

• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• A Gaussian kinematic formula
• A test for a conjunction
• An approximation to cluster size distribution of two Gaussian random fields conjunction with application to fMRI data
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• Extremes of vector-valued Gaussian processes: exact asymptotics
• Level Sets and Extrema of Random Processes and Fields
• On the probability of conjunctions of stationary Gaussian processes
• Validity of the expected Euler characteristic heuristic

Cited in

(4)

• On the probability of conjunctions of stationary Gaussian processes
• Asymptotic formula for the conjunction probability of smooth stationary Gaussian fields
• Validity of the expected Euler characteristic heuristic
• Extrema of multi-dimensional Gaussian processes over random intervals

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