Intrinsic Complexity And Scaling Laws: From Random Fields to Random Vectors

05/01/2018

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by   Jennifer Bryson, et al.

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Random fields are commonly used for modeling of spatially (or timely) dependent stochastic processes. In this study, we provide a characterization of the intrinsic complexity of a random field in terms of its second order statistics, e.g., the covariance function, based on the Karhumen-Loéve expansion. We then show scaling laws for the intrinsic complexity of a random field in terms of the correlation length as it goes to 0. In the discrete setting, it becomes approximate embeddings of a set of random vectors. We provide a precise scaling law when the random vectors have independent and identically distributed entires using random matrix theory as well as when the random vectors has a specific covariance structure.