Asymptotic formula for the tail of the maximum of smooth stationary Gaussian fields on non locally convex sets

被引:3
|
作者
Azais, Jean-Marc [1 ]
Viet-Hung Pham [2 ]
机构
[1] Univ Toulouse 3, Inst Math Toulouse, F-31062 Toulouse, France
[2] Hanoi Natl Univ Educ, Dept Math & Informat, Hanoi, Vietnam
关键词
Stochastic processes; Gaussian fields; Rice formula; Distribution of the maximum; Non locally convex indexed set; CLOSED-SETS; TUBE;
D O I
10.1016/j.spa.2015.11.007
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this paper we consider the distribution of the maximum of a Gaussian field defined on non locally convex sets. Adler and Taylor or Azais and Wschebor give the expansions in the locally convex case. The present paper generalizes their results to the non locally convex case by giving a full expansion in dimension 2 and some generalizations in higher dimension. For a given class of sets, a Steiner formula is established and the correspondence between this formula and the tail of the maximum is proved. The main tool is a recent result of Azais and Wschebor that shows that under some conditions the excursion set is close to a ball with a random radius. Examples are given in dimension 2 and higher. (C) 2015 Elsevier B.V. All rights reserved.
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页码:1385 / 1411
页数:27
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