The Annals of Applied Probability

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

Dan Cheng and Yimin Xiao

Full-text: Open access

Abstract

Let $X=\{X(t),t\in\mathbb{R}^{N}\}$ be a centered Gaussian random field with stationary increments and $X(0)=0$. For any compact rectangle $T\subset\mathbb{R}^{N}$ and $u\in\mathbb{R}$, denote by $A_{u}=\{t\in T:X(t)\geq u\}$ the excursion set. Under $X(\cdot)\in C^{2}(\mathbb{R}^{N})$ and certain regularity conditions, the mean Euler characteristic of $A_{u}$, denoted by $\mathbb{E}\{\varphi(A_{u})\}$, is derived. By applying the Rice method, it is shown that, as $u\to\infty$, the excursion probability $\mathbb{P}\{\sup_{t\in T}X(t)\geq u\}$ can be approximated by $\mathbb{E}\{\varphi(A_{u})\}$ such that the error is exponentially smaller than $\mathbb{E}\{\varphi(A_{u})\}$. This verifies the expected Euler characteristic heuristic for a large class of Gaussian random fields with stationary increments.

Article information

Source
Ann. Appl. Probab., Volume 26, Number 2 (2016), 722-759.

Dates
Received: November 2012
Revised: December 2014
First available in Project Euclid: 22 March 2016

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1458651818

Digital Object Identifier
doi:10.1214/15-AAP1101

Mathematical Reviews number (MathSciNet)
MR3476623

Zentralblatt MATH identifier
1339.60055

Subjects
Primary: 60G15: Gaussian processes 60G60: Random fields 60G70: Extreme value theory; extremal processes

Keywords
Gaussian random fields with stationary increments excursion probability excursion set Euler characteristic super-exponentially small

Citation

Cheng, Dan; Xiao, Yimin. The mean Euler characteristic and excursion probability of Gaussian random fields with stationary increments. Ann. Appl. Probab. 26 (2016), no. 2, 722--759. doi:10.1214/15-AAP1101. https://projecteuclid.org/euclid.aoap/1458651818


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