Excursion probability of Gaussian random fields on sphere

DOI10.3150/14-BEJ688zbMATH Open1337.60102arXiv1401.5498OpenAlexW2122395152WikidataQ57432255 ScholiaQ57432255MaRDI QIDQ265295FDOQ265295

Authors: Dan Cheng, Y. Xiao 

Publication date: 1 April 2016

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1401.5498

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zbMATH Keywords

Gaussian random fieldsEuler characteristicexcursion probabilityPickands' constant

Mathematics Subject Classification ID

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

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