Abstract
For a centered Gaussian random field X={X(t),t∈RN}, let T1 and T2 be two compact sets in RN such that I = T1 ∩ T2 ≠ 0{combining long solidus overlay} and denote by χ (A u (I) ) the Euler characteristic of the excursion set A u (I) = {t ∈ I: X (t) ≥ u} We show that under certain smoothness and regularity conditions, as u → ∞, the joint excursion probability P{supt∈T1X(t)≥u,sups∈T2X(s)≥u} can be approximated by the expected Euler characteristic E{χ(Au(I))} such that the error is super-exponentially small.
Original language | English (US) |
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Pages (from-to) | 79-82 |
Number of pages | 4 |
Journal | Statistics and Probability Letters |
Volume | 92 |
DOIs | |
State | Published - Sep 2014 |
Externally published | Yes |
Keywords
- Euler characteristic
- Excursion probability
- Excursion set
- Gaussian random fields
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty