Computing the distribution of the maximum of Gaussian random processes
From MaRDI portal
Publication:1417672
DOI10.1023/A:1026233412905zbMath1033.60047MaRDI QIDQ1417672
Christine Cierco-Ayrolles, Céline Delmas, Alain Croquette
Publication date: 5 January 2004
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Inference from stochastic processes (62M99) Approximations to statistical distributions (nonasymptotic) (62E17)
Related Items (5)
Asymptotic of the running maximum distribution of a Gaussian Bridge ⋮ On the first-passage times of certain Gaussian processes, and related asymptotics ⋮ Computing bounds on the expected maximum of correlated normal variables ⋮ A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data ⋮ Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
This page was built for publication: Computing the distribution of the maximum of Gaussian random processes
