Excursion probability of Gaussian random fields on sphere

DOI10.3150/14-BEJ688MaRDI QIDQ265295zbMATH OpenOpenAlexWikidataFDO

Authors Dan Cheng, Y. Xiao

Publication date 1 April 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.5498, https://projecteuclid.org/euclid.bj/1447077771

zbMATH Keywords

Gaussian random fieldsEuler characteristicexcursion probabilityPickands' constant

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60)

Abstract: Let $X=X(x):xinmathbb{S}^N$ be a real-valued, centered Gaussian random field indexed on the $N$-dimensional unit sphere $mathbb{S}^N$. Approximations to the excursion probability $mathbbPsu{p}_{xinmathbb{S}^N}X(x)geu$, as $uoinfty$, are obtained for two cases: (i) $X$ is locally isotropic and its sample functions are non-smooth and; (ii) $X$ is isotropic and its sample functions are twice differentiable. For case (i), the excursion probability can be studied by applying the results in Piterbarg (Asymptotic Methods in the Theory of Gaussian Processes and Fields (1996) Amer. Math. Soc.), Mikhaleva and Piterbarg (Theory Probab. Appl. 41 (1997) 367--379) and Chan and Lai (Ann. Probab. 34 (2006) 80--121). It is shown that the asymptotics of $mathbbPsu{p}_{xinmathbb{S}^N}X(x)geu$ is similar to Pickands' approximation on the Euclidean space which involves Pickands' constant. For case (ii), we apply the expected Euler characteristic method to obtain a more precise approximation such that the error is super-exponentially small.

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