Title of article :
A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
Author/Authors :
Azaïs، نويسنده , , Jean-Marc and Wschebor، نويسنده , , Mario، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Pages :
29
From page :
1190
To page :
1218
Abstract :
We study the probability distribution F ( u ) of the maximum of smooth Gaussian fields defined on compact subsets of R d having some geometric regularity. in result is a general expression for the density of F . Even though this is an implicit formula, one can deduce from it explicit bounds for the density, and hence for the distribution, as well as improved expansions for 1 − F ( u ) for large values of u . in tool is the Rice formula for the moments of the number of roots of a random system of equations over the reals. ethod enables also to study second-order properties of the expected Euler characteristic approximation using only elementary arguments and to extend these kinds of results to some interesting classes of Gaussian fields. We obtain more precise results for the “direct method” to compute the distribution of the maximum, using the spectral theory of GOE random matrices.
Keywords :
Density of the maximum , Gaussian fields , Distribution of the maximum , Random matrices , Rice formula , Euler–Poincaré characteristic
Journal title :
Stochastic Processes and their Applications
Serial Year :
2008
Journal title :
Stochastic Processes and their Applications
Record number :
1577996
Link To Document :
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