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The expected Euler characteristic approximation to excursion probabilities of smooth Gaussian random fields with general variance functions

Probability 2023-09-12 v1

Abstract

Consider a centered smooth Gaussian random field {X(t),tT}\{X(t), t\in T \} with a general (nonconstant) variance function. In this work, we demonstrate that as uu \to \infty, the excursion probability P{suptTX(t)u}\mathbb{P}\{\sup_{t\in T} X(t) \geq u\} can be accurately approximated by E{χ(Au)}\mathbb{E}\{\chi(A_u)\} such that the error decays at a super-exponential rate. Here, Au={tT:X(t)u}A_u = \{t\in T: X(t)\geq u\} represents the excursion set above uu, and E{χ(Au)}\mathbb{E}\{\chi(A_u)\} is the expectation of its Euler characteristic χ(Au)\chi(A_u). This result substantiates the expected Euler characteristic heuristic for a broad class of smooth Gaussian random fields with diverse covariance structures. In addition, we employ the Laplace method to derive explicit approximations to the excursion probabilities.

Cite

@article{arxiv.2309.05627,
  title  = {The expected Euler characteristic approximation to excursion probabilities of smooth Gaussian random fields with general variance functions},
  author = {Dan Cheng},
  journal= {arXiv preprint arXiv:2309.05627},
  year   = {2023}
}

Comments

arXiv admin note: text overlap with arXiv:2301.06634

R2 v1 2026-06-28T12:18:21.018Z