Group for Research in Decision Analysis

Ridges and valleys in the high excursion sets of Gaussian random fields

Gennady Samorodnitsky Cornell University, United States

It is well known that normal random variables do not like taking large values. Therefore, a continuous Gaussian random field on a compact set does not like exceeding a large level. If it does exceed a large level at some point, it tends to go back below the level a short distance away from that point. One, therefore, does not expect the excursion set above a high for such a field to possess any interesting structure. Nonetheless, if we want to know how likely are two points in such an excursion set to be connected by a path ("a ridge") in the excursion set, how do we figure that out? If we know that a ridge in the excursion set exists (e.g. the field is above a high level on the surface of a sphere), how likely is there to be also a valley (e.g. the field going to below a fraction of the level somewhere inside that sphere)? We use the large deviation approach. Some surprising results (and pictures) are obtained.


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