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arxiv: 0907.3359 · v2 · pith:HHBVCBJJnew · submitted 2009-07-20 · 🧮 math.PR

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

classification 🧮 math.PR
keywords excursionfieldshighrandomdivisibleinfinitelysetsasymptotic
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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.

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