Computation of the distribution of the maximum of stationary Gaussian processes

DOI10.1007/s11009-012-9293-8zbMath1307.60069OpenAlexW1972146467MaRDI QIDQ2513652

Jean-Marc Azaïs, A. C. Genz

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-012-9293-8

zbMATH Keywords

distribution of the maximumstationary Gaussian processesquasi-Monte-Carlo integration

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05) Sample path properties (60G17) Software, source code, etc. for problems pertaining to probability theory (60-04)

Related Items (3)

On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes ⋮ Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes ⋮ Unnamed Item

Uses Software

• WAFO
• MAGP
• QSIMVN

Cites Work

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• Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes

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