Probabilities of high excursions of Gaussian fields

DOI10.1007/s10986-012-9167-3zbMath1311.60058OpenAlexW2014437570MaRDI QIDQ393011

Rimantas Rudzkis, Aleksej Bakshaev

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-012-9167-3

zbMATH Keywords

Gaussian random fieldslarge excursions

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (max. 100)

Goodness-of-fit tests based on the empirical characteristic function ⋮ Large excursion probabilities for random fields close to Gaussian ones ⋮ Multivariate goodness-of-fit tests based on kernel density estimators

Cites Work

• Probability of a large excursion of a nonstationary Gaussian process. I
• Probability of a large rejection of a nonstationary Gaussian process. II
• Density of the probability of a large rejection of a Gaussian stochastic process. II
• Asymptotic expansions for the distribution of the maximum of Gaussian random fields
• On excursion sets, tube formulas and maxima of random fields.
• On the distribution of the maximum of a Gaussian field with \(d\) parameters
• Tail probabilities of the maxima of Gaussian random fields
• Validity of the expected Euler characteristic heuristic
• The mean number of maxima above high levels in Gaussian random fields
• Mathematical Analysis of Random Noise
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