The expected Euler characteristic approximation to excursion probabilities of Gaussian vector fields

arXiv2301.06634MaRDI QIDQ6423552FDOQ6423552

Publication date: 16 January 2023

Abstract: Let

(X (t), Y (s)) : t i n T, s i n S

be an

m a t h b b R^{2}

-valued, centered, unit-variance smooth Gaussian vector field, where

T

and

S

are compact rectangles in

m a t h b b R^{N}

. It is shown that, as

u o i n f t y

, the joint excursion probability

m a t h b b P s u p_{t i n T} X (t) g e q u, s u p_{s i n S} Y (s) g e q u

can be approximated by

m a t h b b E c h i (A_{u})

, the expected Euler characteristic of the excursion set

A_{u} = (t, s) i n T i m e s S : X (t) g e u, Y (s) g e u

, such that the error is super-exponentially small. This verifies the expected Euler characteristic heuristic (cf. Taylor, Takemura and Alder (2005), Alder and Taylor (2007)) for a large class of smooth Gaussian vector fields.

This page was built for publication: The expected Euler characteristic approximation to excursion probabilities of Gaussian vector fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6423552)