A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail (Q939394): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 01:40, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail |
scientific article |
Statements
A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail (English)
0 references
22 August 2008
0 references
The authors study the probability distribution \(F(u)\) of the maximum of smooth Gaussian fields defined on compact subsets of \(\mathbb{R}^d\) having some geometric regularity. The main result is a general implicit expression for the density of \(F\). Explicit bounds for the density as well as improved expansions for \(1-F(u)\) for large \(u\) are deduced.
0 references
Gaussian fields
0 references
Rice formula
0 references
Euler-Poincaré characteristic
0 references
distribution of the maximum
0 references
density of the maximum
0 references
random matrices
0 references