Excursion probability of certain non-centered smooth Gaussian random fields

DOI10.1016/J.SPA.2015.10.003MaRDI QIDQ5962611zbMATH OpenOpenAlexWikidataFDO

Authors Dan Cheng

Publication date 15 February 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.04414

zbMATH Keywords

Euler characteristicexcursion probabilityrectanglesmooth Gaussian random fieldssphere

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Let $X=X(t):tinT$ be a non-centered, unit-variance, smooth Gaussian random field indexed on some parameter space $T$, and let $A_u(X,T)=tinT:X(t)gequ$ be the excursion set of $X$ exceeding level $u$. Under certain smoothness and regularity conditions, it is shown that, as $uoinfty$, the excursion probability $mathbbPsu{p}_{tinT}X(t)geu$ can be approximated by the expected Euler characteristic of $A_u(X,T)$, denoted by $mathbbEchi(A_u(X,T))$, such that the error is super-exponentially small. This verifies the expected Euler characteristic heuristic for a large class of non-centered smooth Gaussian random fields and provides a much more accurate approximation compared with those existing results by the double sum method. The explicit formulae for $mathbbEchi(A_u(X,T))$ are also derived for two cases: (i) $T$ is a rectangle and $X-mathbbEX$ is stationary; (ii) $T$ is an $N$-dimensional sphere and $X-mathbbEX$ is isotropic.

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Cited in

(14)

• Euler characteristics for Gaussian fields on manifolds
• On excursion sets, tube formulas and maxima of random fields.
• Excursion probabilities of isotropic and locally isotropic Gaussian random fields on manifolds
• Conjunction probability of smooth centered Gaussian processes
• Double extreme on joint sets for Gaussian random fields
• A Gaussian kinematic formula
• Excursion probability of Gaussian random fields on sphere
• The mean Euler characteristic and excursion probability of Gaussian random fields with stationary increments
• Reflecting time-space Gaussian random field on compact Riemannian manifold and excursion probability
• A central limit theorem for the Euler characteristic of a Gaussian excursion set
• On the excursion area of perturbed Gaussian fields
• Asymptotic formula for the conjunction probability of smooth stationary Gaussian fields
• The expected Euler characteristic approximation to excursion probabilities of smooth Gaussian random fields with general variance functions
• Smooth Matérn Gaussian random fields: Euler characteristic, expected number and height distribution of critical points

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