The mean Euler characteristic and excursion probability of Gaussian random fields with stationary increments

DOI10.1214/15-AAP1101zbMATH Open1339.60055arXiv1211.6693OpenAlexW1763547126WikidataQ57432519 ScholiaQ57432519MaRDI QIDQ292900FDOQ292900

Authors: Dan Cheng, Y. Xiao 

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Let $X=X(t),tin{mathbbR}^N$ be a centered Gaussian random field with stationary increments and $X(0)=0$. For any compact rectangle $Tsubset{mathbbR}^N$ and $uinmathbbR$, denote by $A_u=tinT:X(t)gequ$ the excursion set. Under $X(cdot)in{C}^2({mathbbR}^N)$ and certain regularity conditions, the mean Euler characteristic of $A_u$, denoted by $mathbbEvarphi(A_u)$, is derived. By applying the Rice method, it is shown that, as $uoinfty$, the excursion probability $mathbbPsu{p}_{tinT}X(t)gequ$ can be approximated by $mathbbEvarphi(A_u)$ such that the error is exponentially smaller than $mathbbEvarphi(A_u)$. This verifies the expected Euler characteristic heuristic for a large class of Gaussian random fields with stationary increments.

Full work available at URL: https://arxiv.org/abs/1211.6693

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zbMATH Keywords

Gaussian random fieldsEuler characteristicexcursion probabilitystationary incrementsexcursion set

Mathematics Subject Classification ID

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

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Cited In (22)

• A note on global suprema of band-limited spherical random functions
• Excursion probability of Gaussian random fields on sphere
• Local repulsion of planar Gaussian critical points
• Lipschitz-Killing curvatures for arithmetic random waves
• Euler characteristic heuristic for approximating the distribution of the largest eigenvalue of an orthogonally invariant random matrix
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• A central limit theorem for the Euler characteristic of a Gaussian excursion set
• Excursion probability of certain non-centered smooth Gaussian random fields
• Characterization of anisotropic Gaussian random fields by Minkowski tensors
• Limit laws on extremes of nonhomogeneous Gaussian random fields

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