Asymptotic formula for the tail of the maximum of smooth stationary Gaussian fields on non locally convex sets

DOI10.1016/J.SPA.2015.11.007MaRDI QIDQ265644zbMATH OpenOpenAlexFDO

Authors Jean-Marc Azaïs, Viet-Hung Pham

Publication date 4 April 2016

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

Full work available at URL https://arxiv.org/abs/1306.3397

zbMATH Keywords

maximum distributionnon-locally convex setsRice formulastationary Gaussian fieldstail asymptotics

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: In this paper we consider the distribution of the maximum of a Gaussian field defined on non locally convex sets. Adler and Taylor or Aza"i s and Wschebor give the expansions in the locally convex case. The present paper generalizes their results to the non locally convex case by giving a full expansion in dimension 2 and some generalizations in higher dimension. For a given class of sets, a Steiner formula is established and the correspondence between this formula and the tail of the maximum is proved. The main tool is a recent result of Aza"i s and Wschebor that shows that under some conditions the excursion set is close to a ball with a random radius. Examples are given in dimension 2 and higher.

Recommendations

• The tail of the maximum of smooth Gaussian fields on fractal sets
• scientific article; zbMATH DE number 1894348
• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
• Extremes of a class of nonhomogeneous Gaussian random fields
• An asymptotic expansion for the distribution of the maximum of a class of Gaussian fields

Cites work

• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
• A local Steiner-type formula for general closed sets and applications
• Asymptotic expansions for the distribution of the maximum of Gaussian random fields
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Conservative confidence bands in curvilinear regression
• Curvature Measures
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Level Sets and Extrema of Random Processes and Fields
• New bounds for the first passage, wave-length and amplitude densities
• On Hotelling's formula for the volume of tubes and Naiman's inequality
• On the equivalence of the tube and Euler characteristic methods for the distribution of the maximum of Gaussian fields over piecewise smooth domains
• Outer Minkowski content for some classes of closed sets
• Random Fields and Geometry
• Tail probabilities of the maxima of Gaussian random fields
• Tail probability via the tube formula when the critical radius is zero
• The Distribution of the Maxima of a Random Curve
• The record method for two and three dimensional parameters random fields

Cited in

(7)

• Conjunction probability of smooth centered Gaussian processes
• A covariance formula for topological events of smooth Gaussian fields
• An asymptotic expansion for the distribution of the maximum of a class of Gaussian fields
• The tail of the maximum of smooth Gaussian fields on fractal sets
• scientific article; zbMATH DE number 1894348 (Why is no real title available?)
• scientific article; zbMATH DE number 5029994 (Why is no real title available?)
• Asymptotic formula for the conjunction probability of smooth stationary Gaussian fields

This page was built for publication: Asymptotic formula for the tail of the maximum of smooth stationary Gaussian fields on non locally convex sets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q265644)