Dan Cheng, Armin Schwartzman
The explicit formulae for the height distribution and expected number of local maxima have been obtained for isotropic Gaussian random fields on certain low-dimensional Euclidean space or low-dimensional spheres.
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We obtain formulae for the expected number and height distribution of critical points of smooth isotropic Gaussian random fields parameterized on Euclidean space or spheres of arbitrary dimension. The results hold in general in the sense that there are no restrictions on the covariance function of the field except for smoothness and isotropy. The results are based on a characterization of the distribution of the Hessian of the Gaussian field by means of the family of Gaussian orthogonally invariant (GOI) matrices, of which the Gaussian orthogonal ensemble (GOE) is a special case. The obtained …
Let $\{f(t): t\in T\}$ be a smooth Gaussian random field over a parameter space $T$, where $T$ may be a subset of Euclidean space or, more generally, a Riemannian manifold. For any local maximum of $f(t)$ located at $t_0$ in the interior of $T$, we provide general formulae and asymptotic approximations for both the tail distribution of the height of a local maximum $\mathbb{P}\{f(t_0)>u | t_0 \text{is a local maximum of} f(t) \}$ and the overshoot distribution of a local maximum $\mathbb{P}\{f(t_0)>u+v | t_0 \text{is a local maximum of} f(t) \text{and} f(t_0)>v\}$. Assuming further that $f$ is…
Using path integral techniques, we compute exactly the distribution of the maximal height H_p of p nonintersecting Brownian walkers over a unit time interval in one dimension, both for excursions (p-watermelons with a wall) and bridges (p-watermelons without a wall), for all integer p\ge 1. For large p, we show that < H_p > \sim \sqrt{2p} (excursions) whereas < H_p > \sim \sqrt{p} (bridges). Our exact results prove that previous numerical experiments only measured the pre-asymptotic behaviors and not the correct asymptotic ones. In addition, our method establishes a physical connection between…
On local maxima of smooth Gaussian nonstationary processes and stationary planar fields with trends
本文研究非中心光滑高斯场中局部极大值的期望数量与高度分布，针对非平稳过程引入条件相关参数简化计算，并通过广义卡方密度函数处理带趋势的非各向同性平稳平面场，为信号与变点检测提供p值和功效计算工具。
Let $\mathcal{X}= \{X(t) : t \in \mathbb{R}^N \} $ be an isotropic Gaussian random field with real values.In a first part we study the mean number of critical points of $\mathcal{X}$ with index $k$ using random matrices tools.We obtain an exact expression for the probability density of the $k$th eigenvalue of a $N$-GOE matrix.We deduce some exact expressions for the mean number of critical points with a given index. In a second part we study attraction or repulsion between these critical points. A measure is the correlation function.We prove attraction between critical points when $N>2$, neutr…
The Airy distribution function describes the probability distribution of the area under a Brownian excursion over a unit interval. Surprisingly, this function has appeared in a number of seemingly unrelated problems, mostly in computer science and graph theory. In this paper, we show that this distribution also appears in a rather well studied physical system, namely the fluctuating interfaces. We present an exact solution for the distribution P(h_m,L) of the maximal height h_m (measured with respect to the average spatial height) in the steady state of a fluctuating interface in a one dimensi…
Equip the edges of the lattice $\mathbb{Z}^2$ with i.i.d. random capacities. We prove a law of large numbers for the maximal flow crossing a rectangle in $\mathbb{R}^2$ when the side lengths of the rectangle go to infinity. The value of the limit depends on the asymptotic behaviour of the ratio of the height of the cylinder over the length of its basis. This law of large numbers extends the law of large numbers obtained by Grimmett and Kesten (1984) for rectangles of particular orientation.
Linear stability and divisibility gaps for Gaussian maxima
该研究分析高斯最大值的线性稳定性，将其应用于非零特征值相等的相关矩阵，得到可分性间隙相关结果，还确定二维主导渐近项、描述近优构型并获协方差块恢复及高秩极限下界。
Stationary and isotropic iteration stable random tessellations are considered, which can be constructed by a random process of cell division. The collection of maximal polytopes at a fixed time $t$ within a convex window $W\subset{\Bbb R}^d$ is regarded and formulas for mean values, variances, as well as a characterization of certain covariance measures are proved. The focus is on the case $d\geq 3$, which is different from the planar one, treated separately in \cite{ST2}. Moreover, a multivariate limit theorem for the vector of suitably rescaled intrinsic volumes is established, leading in ea…
We consider $N$ non-interacting fermions in an isotropic $d$-dimensional harmonic trap. We compute analytically the cumulative distribution of the maximal radial distance of the fermions from the trap center at zero temperature. While in $d=1$ the limiting distribution (in the large $N$ limit), properly centered and scaled, converges to the squared Tracy-Widom distribution of the Gaussian Unitary Ensemble in Random Matrix Theory, we show that for all $d>1$, the limiting distribution converges to the Gumbel law. These limiting forms turn out to be universal, i.e., independent of the details of …
Let $\{X(t), t\in M\}$ and $\{Z(t'), t'\in M'\}$ be smooth Gaussian random fields parameterized on Riemannian manifolds $M$ and $M'$, respectively, such that $X(t) = Z(f(t))$, where $f: M \to M'$ is a diffeomorphic transformation. We study the expected number and height distribution of the critical points of $X$ in connection with those of $Z$. As an important case, when $X$ is an anisotropic Gaussian random field, then we show that its expected number of critical points becomes proportional to that of an isotropic field $Z$, while the height distribution remains the same as that of $Z$.
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