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

DOI10.1016/J.SPA.2015.11.007zbMATH Open1335.60078arXiv1306.3397OpenAlexW2189354471MaRDI QIDQ265644FDOQ265644

Authors: Jean-Marc Azaïs, Viet-Hung Pham 

Publication date: 4 April 2016

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

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.

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

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zbMATH Keywords

maximum distributionnon-locally convex setsRice formulastationary Gaussian fieldstail asymptotics

Mathematics Subject Classification ID

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

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Cited In (5)

• Conjunction probability of smooth centered Gaussian processes
• A covariance formula for topological events of smooth Gaussian fields
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

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