Effective persistency evaluation via exact excursion distributions for random processes and fields

Summary, in English

Finding the probability that a stochastic system stays in a certain region of its state space over a specified time—a long-standing problem both in computational physics and in applied and theoretical mathematics—is approached through the extended and multivariate Rice formula. In principle, it applies to any smooth process multivariate both in argument and in value given that efficient numerical implementations of the high-dimensional integration are available. The computational method offers an exact integral representation yielding remarkably accurate results and provides an alternative method of computing persistency probability and exponent for a physical system. It can be viewed as an implementation of path integration for a smooth Gaussian process with an arbitrary covariance. Its high accuracy is due to efficient computation of expectations with respect to high-dimensional nearly singular Gaussian distributions. For Gaussian processes, the computations are effective and more precise than those based on the Rice series expansions and the independent interval approximation. For the benchmark diffusion process, it produces the persistency exponent that is essentially the same as the recently obtained analytical value and surpasses accuracy, interpretability as well as control of the error, previous methods including the independent or Markovian approximation. The method solves the two-step excursion dependence for a stationary differentiable Gaussian process, in both theoretical and numerical sense. The solution is based on exact expressions for the probability density for one and two successive excursion lengths. The numerical routine RIND computes the densities using recent advances in scientific computing and is easily accessible for a general covariance function, via a simple numerical interface. The work offers also analytical results that explain the effectiveness of the implemented methodology and elaborates its utilization for non-Gaussian processes.

• Author: Georg Lindgren; Krzysztof Podgórski; Igor Rychlik
• Department/s: Mathematical Statistics; Department of Statistics
• Publishing year: 2022-03-28
• Language: English
• Publication/Series: Journal of Physics Communications
• Volume: 6
• Links: http://dx.doi.org/10.1088/2399-6528/ac5e24
• Document type: Journal article
• Publisher: IOP Publishing
• Topic: Probability Theory and Statistics
• Keywords: diffusion; Persistency exponent; Gaussian Process; Slepian models; diffusion; persistency exponent; Gaussian process; Slepian model
• Status: Published
• ISBN/ISSN/Other: ISSN: 2399-6528