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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2012 Volume 408, Pages 187–196 (Mi znsl5500)

This article is cited in 11 papers

Random determinants, mixed volumes of ellipsoids, and zeros of Gaussian random fields

D. N. Zaporozhetsa, Z. Kabluchkob

a St. Petersburg Department of the Steklov Mathematical Institute, St. Petersburg, Russia
b Institute of Stochastics, Ulm University, Ulm, Germany

Abstract: Consider a $d\times d$ matrix $M$ whose rows are independent centered non-degenerate Gaussian vectors $\xi_1,\ldots,\xi_d$ with covariance matrices $\Sigma_1,\dots,\Sigma_d$. Denote by $\mathcal E_i$ the location-dispersion ellipsoid of $\xi_i$: $\mathcal E_i=\{\mathbf x\in\mathbb R^d\colon\mathbf x^\top\Sigma_i^{-1} \mathbf x\leqslant1\}$. We show that
$$ \mathbb E\,|\det M|=\frac{d!}{(2\pi)^{d/2}}V_d(\mathcal{E}_1,\dots,\mathcal E_d), $$
where $V_d(\cdot,\dots,\cdot)$ denotes the mixed volume. We also generalize this result to the case of rectangular matrices. As a direct corollary we get an analytic expression for the mixed volume of $d$ arbitrary ellipsoids in $\mathbb R^d$.
As another application, we consider a smooth centered non-degenerate Gaussian random field $X=(X_1,\dots,X_k)^\top\colon\mathbb R^d\to\mathbb R^k$. Using the Kac–Rice formula, we obtain the geometric interpretation of the intensity of zeros of $X$ in terms of the mixed volume of location-dispersion ellipsoids of the gradients of $X_i/\sqrt{\mathbf{Var}X_i}$. This relates the zero sets of equations to the mixed volumes in a way which resembles the well-known Bernstein theorem on the number of solutions of a typical system of algebraic equations.

Key words and phrases: Gaussian random determinant, Wishart matrix, Gaussian random parallelotope, mixed volumes of ellipsoids, location-dispersion ellipsoid, zeros of Gaussian random fields, Bernstein theorem, Kac–Rice formula.

UDC: 519.2+514

Received: 10.10.2012


 English version:
Journal of Mathematical Sciences (New York), 2014, 199:2, 168–173

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