Bounds and asymptotic expansions for the distribution of the Maximum of a smooth stationary Gaussian process

DOI10.1051/ps:1999105zbMath0933.60032OpenAlexW2105287801MaRDI QIDQ4265262

Alain Croquette, Christine Cierco-Ayrolles, Jean-Marc Azaïs

Publication date: 10 October 1999

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/104252

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items

Mean number and correlation function of critical points of isotropic Gaussian fields and some results on GOE random matrices, Asymptotics for likelihood ratio tests under loss of identifiability, Asymptotic Poisson character of extremes in non-stationary Gaussian models, Expansions for the distribution and the maximum from distributions with an asymptotically gamma tail when a trend is present, Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes, On the tails of the distribution of the maximum of a smooth stationary Gaussian process

Uses Software

• Maple

Cites Work

• Extremes and related properties of random sequences and processes
• Surfaces aléatoires. Mesure géométrique des ensembles de niveau
• Large Deviations of Random Processes Close to Gaussian Ones
• Comparison of Distribution Functions of Maxima of Gaussian Processes
• Significance levels in exploratory projection pursuit
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Une formule pour calculer la distribution du maximum d'un processus stochastique
• On the rate of convergence for extremes of mean square differentiable stationary normal processes
• Testing in locally conic models, and application to mixture models
• Mathematical Analysis of Random Noise
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item