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e
dierentiable Sto
hasti
Pro
ess
Abstra t
in a losed interval, is given. The formula is derived using the Generalized Ri e's
formula.
pro
esses under mild assumptions on the pro
ess. The formula for the density is expli
it
but involves integrals that have to be
omputed using numeri
al integration.
The
omputation of the density is dis ussed and some numeri al examples are given.
Keywords: Sto hasti pro ess, global maximum, supremum, generalized Ri e's formula, extremes
Resear
h supported in part by the Knut and Ali
e Wallenberg Foundation through the Gothenburg
Sto
hasti
Centre
Introdu tion
position and height of the global maximum has not been studied before. We turn now to
some denitions and preliminary results.
dened on sets in
F . In what follows we assume that the sample paths of the pro ess have
absolutely
ontinuous derivatives with probability one; see Cramr and Leadbetter (1967)
for suitable
onditions.
In the following denition and lemma we assume that
tive and the se
ond derivative of a fun
tion
Denote by
!(t) is deterministi .
The deriva-
Z (!) and T (!) the height and position of the global maximum of !(t)
Analysis of the
(1)
(T; Z )-distribution
for the
ase when the global maximum is also a lo
al maximum is a non-trivial problem.
Here, we shall derive the distribution of
variables,
Denition 1 For a xed level 0, dene A = f0; Lg [ ft 2 [0; L : !_ (t) = g, then the
position and height of the global -maximum T(!); Z (!) say, are given by
Z(!) = sup f!(t) : t 2 A g ; T (!) = inf ft 2 A : !(t) = Z(!)g :
2
T ; Z
onverges to
!, (T0 ; Z0 ) = (T; Z ).
T 0 ; Z0
as
the appendix.
T
= !(t).
T0(!) = T (!) = t.
i.e.
Z (!)
Further, let
T,
2 (0; L).
Suppose that
is as follows.
Consider
In Se
tion 2 we present the generalized Ri
e's formula for expe
ted number of marked
rossings. The formula will be used to derive
be done in Se
tion 3.) However the formula is valid only for almost all
are interested in the distribution of
of
T; Z for = 0.
(This will
0 values while we
F0 (t; h) will
be dis
ussed in Se
tion 4, while in Se
tion 5 some numeri
al examples will be given. For
larity of presentation, several proofs are moved to an appendix.
Assume that
For a xed
following lassi al result is alled Ri e's formula, see Leadbetter et al. (1983).
Theorem 3 If the pro
ess X (t) is Gaussian and the derivative X_ (t) exists in quadrati
mean (h 1 (X (t + h) X (t)) ! X_ (t) in quadrati
mean as h goes to zero) then
+ (u) =
where fX_ (0);X (0) (z; u) is the joint density of X_ (0); X (0).
3
(2)
Ri
e (1944, 1945) and Ka
(1943), obtained (2) for a
ertain
lass of Gaussian pro
esses and
polynomials with random
oe
ients, respe
tively. The formula (2) has been generalized
in many dire
tions. In this se
tion we shall present the generalization whi
h is parti
ularly
suited for the problem dis
ussed in this paper.
Under the assumptions of the theorem, if
f (u)
+ (u)
E [jX_ (0)j1fX_ (0)>0g X (0) = u =
;
f (u)
where
1fg is equal to one if the statement "" is true and zero otherwise. In general, the left
u.
where
1 _
dH0 (s);
0 fX (s)>0;X (s)=ug
Con-
+ (u)
=
=u
a.a.
E[
(3)
=u means that equality is valid for almost all u. A
tually this result is true for any
_ (0)j < 1. The formula
stationary a.s. absolutely dierentiable pro
ess X as long as E [jX
where
a.a.
(3) follows from Theorem 4, whi
h in a more general version is given in Zhle (1984). In
that paper the Hausdorf area and the
oarea theorem, see Federer (1969), has been used to
study properties of
rossings for random elds. The one-dimensional version of the result,
given here, follows also from Bana
h (1925), (see Ry
hlik (2000) for details).
Theorem 4 Assume X (t) is a.s. absolutely ontinuous and Y (t) is ve tor valued a.s. mea-
surable, e.g. adlag. Let q : [0; L C ! [0; 1) be a measurable fun tion. If E [jX_ (t)j < +1
hZ
(4)
There is some di ulty in interpreting (4). The onditional expe tation
of fun
tions). In order to use the formula we need rst to spe
ify the version of
onditional
expe
tation we wish to
onsider. The problem of
hoosing a "proper"
onditional density is
a deli
ate issue and will be dis
ussed later on.
In the following remark we demonstrate that Eq.(3) follows from Theorem 4.
Remark 5 Consider formula (4) and
hoose B = [0; 1, Y (s) = X_ (s), A = (0; +1) and
q(s; X ) = 1fX (s)ug then
Z u
hZ 1
i
E
1fX_ (s)>0;X (s)=xg dH0(s) dx
1
0
Z u Z 1
E [jX_ (s)j1fX_ (s)>0g X (s) = xfX (s) (x) ds dx:
=
1 0
Now by dierentiating both sides of the equation on u and by assumed stationarity of X we
obtain (3). Note that the dierentiation on u implies that Eq. (3) is proved only for almost
all u.
The distribution of T ; Z .
T ; Z .
hZ
dx =
Let
q(s; !_ ) =
(Note that in Denition 1,
fun
tion of the derivative
8
<
1
:
0
T
if
otherwise.
is a fun tion of
!.
However,
T
an also be dened as a
Now it is easy to
see that
Z t
0 0
Theorem 6 Consider ! with a.s. absolute
ontinuous derivative !_ su
h that E [j! (t)j < 1
for all t 2 [0; L. If for all t 2 [0; L the distribution of the derivative pro
ess has a density
= E 1f!(0)hg1fT (!)=0g ;
P (T = L; Z h) = E 1f!(L)hg1fT (!)=Lg ;
P (T = 0; Z h)
(5)
(6)
P (0 < T t; Z h)
a.a.
t h
(7)
where a.a.
= means that equality holds for almost all 0.
Proof:
q(s; !_ ).
Assume that a version of
onditional expe
tation is
hosen and then the distribution
fun
tion of
8
>
>
>
<
E 1f!(0)hg1fT (!)=0g
F (t; h) = E 1f!(0)hg 1fT (!)=0g + F (h; t; )
>
>
>
:
E 1f!(0)hg1fT (!)=0g + E 1f!(L)hg1fT (!)=Lg + F (h; L; )
if
if
if
t = 0;
t 2 (0; L);
t = L;
(8)
where
F (t; h; ) =
t h
(9)
Proof:
By Lemma 2,
Sin e
T
di ult. The key is to demonstrate that with probability one there is only one
!(t)
= Z (!).
T
to
is more
t su h that
Lemma 8 Assume ! is a.s.
ontinuously dierentiable and the distribution of the derivative
!_ (t) has a density f!_ (t) (x) for all t 2 [0; L; then ea
h of the following hold:
(0) The fun
tions q(t; !_ ), 1fT (!)=0g (!) and 1fT (!)=Lg(!) are measurable.
(I) If the density f!(t) (x) exists and is bounded in x and in t 2 [0; L then, for any 0,
(II) If, in addition to the assumptions in (I), for any > 0 the joint density f!(s) !(L);!_ (s) (x; y)
exists and is bounded in x; y and in s 2 [0; L , then
lim P (T = 0; Z h) =
lim P (T = L; Z h) =
!0
!0
P (T
= 0; Z h);
P (T = L; Z h):
(III) If, in addition to the assumptions in (I) and (II), for any >
!0
(10)
Corollary 9 Assume that the joint density f!(t);!_ (t) (x; u) exits for all t 2 [0; L then, for
almost all , the density of T ; Z is given by
(11)
where
fE (t; x) = E 1fT =0g !(0) = x f!(0) (x) 0 (t) + E 1fT =Lg !(L) = x f!(L)(x) L (t);
and
fC (t; x) = E j! (t)j q(t; !_ ) !_ (t) = ; !(t) = x f!(t);!_ (t) (x; );
where s (t) = (t s) is the Dira
fun
tion. The
onditional expe
tations are understood to
be those used in (9).
In this se
tion we shall dis
uss the
hoi
e of the version of the
onditional expe
tation in
the denition of
X; Y
fX;Y (x; y)
(12)
(!(t); !_ (t); ! (t); q(t; !_ )) is known then (12)
an be used to
ompute the fun
tion F (t; h; ) or
the density f (s; x). However q (t; !
_ ) is a fun
tion of an innite sequen
e f!(si ); !_ (si )g1i=1 ,
see below, and hen
e the density is in general unknown. Consequently we shall dene the
expe
tation as a limit of a sequen
e of suitable approximations.
Let
fsi g1
i=1 , s1 = 0; s2 = L, be a dense subset of [0; L and let
qN (t; !_ )
x+ = max(0; x).
(13)
(14)
where
fE (t; x; N ) =E qN (0; !) !(0) = x f!(0)(x) 0 (t)
Sin e
qN (t; !_ ) q(t; !_ ) while qN (0; !) 1fT =0g , qN (L; !) 1fT =Lg
for all
f(t; x)
f (t; x; N )
f(t; x; N )
a.a.
(t; x).
Next we shall derive two su
ient
onditions for the
onvergen
e of
version of
are, for
f(t; x; N )
to a
sin
e the fun
tions are positive and non-in
reasing,
an be used to dene the
onditional
expe
tation in (11). Thus we
an say that
f (t; x)
is the limit of
f (t; x; N )
for all
0.
The rst
ondition, (A), will be used in
onstru
tion of numeri
al algorithm to
ompute the
density of
Theorem 10 Assume that, for any N and t 2 [0; L, (13) has a non-degenerated density.
Further, suppose
0
(A) If
L
+1 Z
(15)
f (s; x; N ) ds dx = 1
1 0
then, for all t 2 (0; L) and almost all 0, f (t; x) = limN !1 f(t; x; N ).
2 [0; L
(16)
f!_ (s) !_ (t) (y), f!(s) !(t);!_ (s) !_ (t) (x; y) are bounded in x; y and in s su
h that jt sj
then, for almost all 0, f(t; x) = limN !1 f (t; x; N ).
Proof:
Lemma 8 and Theorem 10 gives
onditions for the validity of the following approximation
s
heme. First, dene
h Z t
1 0
f(s; z ; N ) ds dz
we have
as
! 0.
F
N !1
a.a.
Consequently, if
uniformly then
Often ontinuity of
f(t; x; N ) an be proved.
f (t; x; N ) is
a mu
h more di
ult problem. However in pra
ti
e, the hardest problem is the
omputation
of
of the ontinuity of
then be repla ed by the following ondition: Assume that for su iently small
2 [0; 0
ZZ
f(s; x; N ) ds dx < 1 + ;
10
and all
then
omputed using
jP (T t; Z h) F0 (t; h; N )j
(t; h). Finally, in order to redu
e the amount of numeri
al integration, the
denition of the density f0 (t; x; N ) needs to be modied as follows
fN (t; x) = fE (t; x; N ) + E j! (t)j q~N (t; !) !_ (t) = ; !(t) = x f!(t);!_ (t) (x; );
where
fN (t; x)
density of
density
(!):
fN (s; x) ds dx 1 + ;
T; Z .
Sin e the
si
iN g
then
for all
si
for Gaussian
!.
satised.
Let
be a stationary Gaussian pro ess su h that the fourth spe tral moment
and the fourth order derivative of the ovarian e fun tion satises
11
4
exists
as
! 0, for some > 1. Then ! (s) is a.s. ontinuous, see Cramr and Leadbetter (1967),
and hen
e the assumptions of Theorem 6 and Corollary 9 are satised. If in addition, we
assume that spe
tral measure of
s 6= t,
(!(s); !(t); !_ (s); !_ (t)) has a nonsingular joint density, with
ovarian
e matrix that depends
in a
ontinuous way on
t s.
we an on lude that
!0
Sin e the assumptions of Theorem 10 (B) are also satised for any value of
t, we an then
dene
f (t; x) =
lim (t; x; N ):
f
N !1
Finally, sin e the spe tral measure ontains ontinuous omponents, it is lear that, for any
The non-stationary Gaussian pro ess used in the next se tion is derived from the stationary one by means of onditioning on values at a nite number of points
tn < L.
Studies of this type of pro esses are motivated by pra ti al appli ations for whi h
the random fun
tion is observed at some xed time points, see Sj (2001) for more detailed
dis
ussion. If the measurements
onsists of the random fun
tion plus some random noise
(su
h as zero mean iid. Gaussian variables), then one
an modify the arguments presented
for stationary Gaussian
error the densities of
!(ti )
ti
and then
t; s1 ; : : : ; sN
Next it is
easy to reformulate the assumptions in the lemma (and the theorem) so that this spe
ial
ase is
overed. For
larity of presentation we have
hosen not to do it. In order to give
12
some indi
ation of what type of modi
ation is required we give an example: in Lemma 8,
(III) the denition of
n
\
i=1
f(s; t) : js ti j ; jt ti j g:
Examples
sian pro
ess with a rather periodi
al behavior, it has a typi
al o
eanographi
spe
trum,
and evaluate the density for the global maximum for two dierent
L.
As a nal exam-
ple we study a non-stationary Gaussian pro
ess that is
reated from a stationary ditto
by
onditioning on the value at some points.
instead of
respe tively.
http://www.maths.lth.se/matstat/wafo/.
fE
truly two-dimensional.
The pro
ess in our stationary example has zero mean, approximately
0:17 lo
al maxima per unit interval. First we have evaluated the density of the position and height of the global maximum in the interval [0; 3 where the expe
ted
number of lo
al maxima is roughly 0:5 (Figure 1), and then in the interval [0; 9, whi
h is
13
0.09
0.08
0.05
0.07
0.04
0.06
0.03
0.05
0.02
0.04
0.01
0.03
0
8
0.02
6
4
2
0.01
2
4 0
height
0
4
position
2
height
Figure 1: Density of position and height of the global maximum in the short interval
Left:
Interior density
density
f C (s; x).
Right:
f E (0; x),
[0; 3.
0.04
0.035
0.04
0.03
0.03
0.025
0.02
0.02
0.01
0.015
0
8
0.01
6
0.005
0
height
2 0
0
position
height
Figure 2: Density of position and height of the global maximum in the longer interval
Left:
Interior density
density
f C (s; x).
Right:
14
f E (0; x),
[0; 9.
The short interval gives an almost uniform density for the position, but also larger
probability to have the global maximum at one of the endpoints. The proportion is
the interior of the interval to
41% in
that the global maximum is in the
entral part of the interval, espe
ially the smaller maxima
are likely to be there, while the high lo
al maxima are almost uniformly distributed. The
proportion between interior and endpoints in this
ase is
82% to 18%.
interval it is also more probable to have a low global maximum with height below
0) = 0:18 for the short interval, while P(Z 0) = 0:004 for the longer.
0: P(Z
We also
ompared the evaluated densities to empiri
al results based on simulation; here
we present the results for the short interval. We simulated 500 repli
ations of a stationary
pro
ess with the given spe
tral density.
observed.
In the interval
The
umulative fun
tions integrated from the sub-densities are normalised to have maximum
value
1.
stationary pro
ess. Conditional on the observations (with errors), we obtain a new pro
ess
that is a non-stationary Gaussian pro
ess with mean fun
tion equal to the
onditional mean,
and
ovarian
e fun
tion equal to the
onditional
ovarian
e.
In a real situation the
ovarian
e fun
tion of the stationary pro
ess normally has to
be estimated, but in this example it is taken as known, i.e., the
ovarian
e fun
tion we
simulated from. The stationary
ovarian
e fun
tion used is of the type
parameters su
h that the
ovarian
e fun
tion is almost zero after
15
a exp( b 2 ),
with
0.8
4
height
0.6
2
0.4
0
0.2
2
4
position
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
2
height
height
Figure 3:
Simulation of position
position
and height
[0; 3,
500
repli
ations. The out
ome was su
h that 202 maxima were lo
ated in the interior, 143 at
the left endpoint, and 155 at the right, whi
h is
lose to the analyti
al proportion.
Left
dots.
Left )
Top Right :
Empiri al distribution of
Top
(T; Z ) marked by
the interval (irregular line), together with the
umulative distribution fun
tion, integrated
from
fC
and normalised.
Bottom Left :
Empiri al distribution of
and at the right endpoint (two irregular lines), together with the
umulative distribution
fun
tion integrated from
Empiri al distribution of
Z , given that the maximum is in the interior (irregular line), together with the
umulative
distribution fun
tion integrated from
fC
and normalised.
16
60
50
40
height
30
x 10
3.5
10
30
50
70
90
95
99
20
2.5
10
0
1.5
10
20
30
0.5
40
0
0.5
1.5
position
fC
2.5
0
0
10
20
30
40
height
50
60
70
marked by ` '. The
onditional mean, i.e., the re
onstru
ted mean, is given by a solid
urve,
anked by approximative
onden
e bands (dashed
urves). Right : Left endpoint density
a=10.
The reason for
hoosing only four observations is
larity, with many observations the density
gets very
on
entrated.
To the left in Figure 4 there is a
ontour plot of the interior density
fC.
The lo ation
and value of the observations are marked by ` '. The plot also shows the
onditional mean
fun
tion, point-wise anked by approximative
onden
e bands evaluated pointwise as the
mean fun
tion
two times the standard deviation. To the right in Figure 4 are the endpoint
91% in the interior, 0:8% to the left, and 8:2% to the right.
To illustrate the inuen
e of the observation error we have repeated the same evaluation, but this time with the observation error varian
e equal to
non-stationary pro
ess has varian
e
0.
Subse
tion 4.1. The result is shown in Figure 5. The dashed
urves
oin
ide with the solid
at the observations sin
e the
onditional varian
e is
17
0 there.
are more errati
depending on numeri
al problems due to the fa
t that the distribution is
nearly singular
lose to the observations. Exa
tly at the observation points, the density is
0 for all heights. The proportions this time are 95:7% in the interior, 0:1% to the left, and
4:2% to the right.
3
60
50
40
30
2.5
Level curves enclosing:
10
30
50
70
90
95
99
20
height
x 10
1.5
10
0
10
20
0.5
30
40
0
0.5
1.5
position
2.5
0
0
10
20
30
40
height
50
60
70
error. The observations are marked by ` '. The
onditional mean, i.e., the re
onstru
ted
mean, is given by a solid
urve, anked by approximative
onden
e bands (dashed
urves).
Right :
Referen
es
Bana
h, S. (1925). Sur les lignes re
tiables et les surfa
es dont l'aire est nie.
7, pp.
Fund. Math.,
225-237.
Bulinskaya, E. V. (1961). On the mean number of rossings of a level by a stationary Gaussian pro ess.
435-438.
J.
18
Pro esses.
Federer, H. (1969).
Bull.
1215-1228.
282-332.
Ri
e, S. (1945). The mathemati
al analysis of random noise.
46-156.
Ry
hlik, I. and Lindgren, G.(1993). CROSSREG - a te
hnique for rst passage and wave
density analysis. Probability in Engineering and Informational S
ien
es
Ry
hlik, I. (2000).
7, 125-148.
3:4, 331-348.
Sj, E. (2001). Conden
e Regions for Lo
al Maxima and Minima of Surfa
es Re
onstru
ted
from Finite Data. Methodology and Computing in Applied Probability,
3 145-159.
Zhle, U. (1984). A General Ri e Formula, Palm Measures, and Horizontal-window Conditioning for Random Fields.
Appendix
Proof of Lemma 2:
We demonstrate rst that
!(t) > Z
implies
!_ (t) < .
Suppose
and
!_ (t) >
0 (!_ (t) = and !(t) > Z is impossible). Sin
e !(t) > !(L) then there is t0 = inf fs 2
(t; L) : !_ (s) < 0g. Obviously !_ (s) 0 for all s 2 (t; t0). Now, for
ontinuous !_ there is
s 2 (t; t0 ) su
h that !_ (s) = and !(s) > Z (!), whi
h is a
ontradi
tion.
Consequently, if
!(t) > Z then !_ (t) < , hen
e the distan
e from Z (!) to Z (!) has to be less then L.
se
ond statement of the lemma is obvious.
19
The
Proof of Lemma 8:
In the proof we shall employ Bulinskaya lemma, given next for
ompletness, see Cramr,
Leadbetter (1967), p. 76 for the proof. Adler (1981) Theorem 3.2.1 presents similar type of
result for elds whi
h in slightly modied form will be used in following proofs.
Lemma 11 (Bulinskaya (1961)) Let u be xed. If one dimensional density ft (x) of the pro-
ess (t) is bounded in x and in 0 t 1, and if (t) has, with probability one, a
ontinuous
sample derivative _(t), then the probability is zero that _(t)
for any t in 0 t 1.
= 0, (t) = u simultaneously,
We beginn with the proof of (0). First we give an alternative hara terizations of fun -
q(t; !_ )
q(t; !_ ) = 1
ts<L
0<s<t
!(t; s) 0 or !12 (t; s) < 0:
(17)
0<s<t !(s; t) > 0 or !12 (s; t) > 0 means that ! is higher or growing faster at
t than at any other s 2 (0; t).) Next for any 0
(Simply,
0<s<L
^
0<s<L
(18)
(19)
fsi g1
i=1 be a
ountable, dense subset of [0; L, su
h that s1 = 0, s2 = L. Dene
A (t; !)
A+ (t; !)
^_^
^_^
n k i
n k i
where
n; k; i are integers.
q(t; !_ ) = 1 , !(0; t) > 0 and !(t; L) 0 and A (t; !) and A+ (t; !) are true:
Now, sin
e
(20)
!(s; t); !12 (s; t) are measurable fun
tions (s; t; !_ ) and hen
e, for xed si ; x; y,
1f!12(s ;t)xg[f!(s ;t)yg(t; !)1f!(0;t)>0g\f!(t;L)0g(t; !)
i
We turn now to the proof of (I). First, note that the assumed existen
e of the density
of
= h) = 0 for any xed h and 0. Obviously, sin
e the density of !(0) and
!(L) exists then P (T = 0; Z = h) = 0 and P (T = L; Z = h) = 0. Now, sin
e the density
of ! (t) is bounded then employing Bulinskaya lemma for (t) = ! (t) + t implies that for a
that
P (Z
xed value
h and
whi h implies
P (!(t) = h; !_ (t) = ;
for any
t 2 [0; L) = 0;
(21)
a; b
a()
(18-19).
!0
T (!) =
By taking a sequen e of
(22)
T (!) = L, then !(L) > !(s) for all s 2 [0; L) and hen e
Z (!).
su h that
Z (!)
Sin e
By means of
qN (t; !_ ) q(t; !_ ),
and
then by (16)
f(t; x; N ) f (t; x) 0
onverges to zero as
tends to innity.
Now if a sample
s2[0;L
(23)
and for
t=L
q (L; !) = 1 ,
s2[0;L
^
s2[0;L
(24)
(25)
(The proof of statements (23-25) involves elementary manipulations of (17-19) and hen
e is
omitted.) Consequently with probability one
lim (qN (t; !_ ); qN (0; !)qN (L; !)) = (q(t; !_ ); 1fT (!)=0g; 1fT (!)=Lg):
N !1
(26)
f
N !1
for almost all
23