Distribution of the Height of Local Maxima of Gaussian RandomFields

摘要

Let {f(t) : t ∈ 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. We provide a general formula for the distribution of the height of a local maximum ℙ{f(t0)  u∣t0 is a local maximum of f(t)} when f is non-stationary. Moreover, we establish asymptotic approximations for the overshoot distribution of a local maximum ℙ{f(t0)  u + v∣t0 is a local maximum of f(t) and f(t0) > v} as v → ∞. Assuming further that f is isotropic, we apply techniques from random matrix theory related to the Gaussian orthogonal ensemble to compute such conditional probabilities explicitly when T is Euclidean or a sphere of arbitrary dimension. Such calculations are motivated by the statistical problem of detecting peaks in the presence of smooth Gaussian noise.