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

Consider a $d\times d$ matrix $M$ whose rows are independent centered non-degenerate Gaussian vectors $ξ_1,...,ξ_d$ with covariance matrices $Σ_1,...,Σ_d$. Denote by $\mathcal{E}_i$ the location-dispersion ellipsoid of $ξ_i:\mathcal{E}_i={\mathbf{x}\in\mathbb{R}^d : \mathbf{x}^\topΣ_i^{-1} \mathbf{x}\leqslant1}$. We show that $$ \mathbb{E}\,|\det M|=\frac{d!}{(2π)^{d/2}}V_d(\mathcal{E}_1,...,\mathcal{E}_d), $$ where $V_d(\cdot,...,\cdot)$ denotes the {\it 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 $X=(X_1,...,X_k)^\top:\mathbb{R}^d\to\mathbb{R}^k$. Using 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 zero sets of equations to mixed volumes in a way which is reminiscent of the well-known Bernstein theorem about the number of solutions of the typical system of algebraic equations.

preprint2012arXivOpen access

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