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Gaussian random field

In statistics, a Gaussian random field (GRF) is a random field involving Gaussian probability density functions of the variables. A one-dimensional GRF is also called a Gaussian process. An important special case of a GRF is the Gaussian free field. With regard to applications of GRFs, the initial conditions of physical cosmology generated by quantum mechanical fluctuations during cosmic inflation are thought to be a GRF with a nearly scale invariant spectrum. Construction One way of constructing a GRF is by assuming that the field is the sum of a large number of plane, cylindrical or spherical waves with uniformly distributed random phase. Where applicable, the central limit theorem dictates that at any point, the sum of these individual plane-wave contributions will exhibit a Gaussian distribution. This type of GRF is completely described by its power spectral density, and hence, through the Wiener–Khinchin theorem, by its two-point autocorrelation function, which is re

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MATH-414: Stochastic simulation

The student who follows this course will get acquainted with computational tools used to analyze systems with uncertainty arising in engineering, physics, chemistry, and economics. Focus will be on sampling methods as Monte Carlo, quasi Monte Carlo, Markov Chain Monte Carlo.

COM-417: Advanced probability and applications

In this course, various aspects of probability theory are considered. The first part is devoted to the main theorems in the field (law of large numbers, central limit theorem, concentration inequalities), while the second part focuses on the theory of martingales in discrete time.

MICRO-513: Signal processing for functional brain imaging

Computational methods for the analysis of human brain imaging data

On ANOVA Decompositions of Kernels and Gaussian Random Field Paths

David Ginsbourger

Springer International Publishing2016

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How Lagrangian States Evolve Into Random Waves

Alejandro Rivera

In this paper, we consider a compact connected manifold (X, g) of negative curvature, and a family of semi-classical Lagrangian states f(h)(x) = a(x)e(i phi(x)/h) on X. For a wide family of phases phi, we show that f(h), when evolved by the semi-classical Schrodinger equation during a long time, resembles a random Gaussian field. This can be seen as an analogue of Berry's random waves conjecture for Lagrangian states.

ECOLE POLYTECHNIQUE2022

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The Hausdorff measure of the range and level sets of Gaussian random fields with sectorial local nondeterminism

Cheuk Yin Lee

We determine the exact Hausdorff measure functions for the range and level sets of a class of Gaussian random fields satisfying sectorial local nondeterminism and other assumptions. We also establish a Chung-type law of the iterated logarithm. The results can be applied to the Brownian sheet, fractional Brownian sheets whose Hurst indices are the same in all directions, and systems of linear stochastic wave equations in one spatial dimension driven by space-time white noise or colored noise.

INT STATISTICAL INST2022

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