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High level excursion set geometry for non-Gaussian infinitely divisible random fields

Authors: Adler, Robert; Samorodnitsky, Gennady; Taylor, Jonathan;

High level excursion set geometry for non-Gaussian infinitely divisible random fields

Abstract

We consider smooth, infinitely divisible random fields $(X(t),t\in M)$, $M\subset {\mathbb{R}}^d$, with regularly varying Levy measure, and are interested in the geometric characteristics of the excursion sets \[A_u=\{t\in M:X(t)>u\}\] over high levels u. For a large class of such random fields, we compute the $u\to\infty$ asymptotic joint distribution of the numbers of critical points, of various types, of X in $A_u$, conditional on $A_u$ being nonempty. This allows us, for example, to obtain the asymptotic conditional distribution of the Euler characteristic of the excursion set. In a significant departure from the Gaussian situation, the high level excursion sets for these random fields can have quite a complicated geometry. Whereas in the Gaussian case nonempty excursion sets are, with high probability, roughly ellipsoidal, in the more general infinitely divisible setting almost any shape is possible.

Published in at http://dx.doi.org/10.1214/11-AOP738 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Keywords

infinitely divisible random fields, geometry, 330, critical points, moving average, 510, Stationary stochastic processes, FOS: Mathematics, Sample path properties, Morse theory, 60D05, excursion sets, 60G60, infinitely divisible random field, Probability (math.PR), critical point, Stable stochastic processes, 60G17, excursion set, Infinitely divisible random fields, Random fields, Geometric probability and stochastic geometry, extrema, Euler characteristic, 60G10, Mathematics - Probability, 60G52

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
19
Average
Top 10%
Top 10%
Green
hybrid