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

DOI10.1239/aap/1143936145zbMath1099.60026OpenAlexW2039601445MaRDI QIDQ5475394

Cécile Mercadier

Publication date: 19 June 2006

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1143936145

zbMATH Keywords

first passage timeWAFO toolboxabsolutely continuous sample path

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (7)

A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail ⋮ Slope distribution in front-back asymmetric stochastic Lagrange time waves ⋮ Wave intensities and slopes in Lagrangian seas ⋮ Computation of the distribution of the maximum of stationary Gaussian processes ⋮ MAGP ⋮ 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
• QSIMVN

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on Durbin's formula for the first-passage density
• Asymptotic distribution and local power of the likelihood ratio test for mixtures: bounded and unbounded cases
• Projections on spherical cones, maximum of Gaussian fields and Rice's method.
• Asymptotic expansions for the distribution of the maximum of Gaussian random fields
• A normal comparison inequality and its applications
• On the distribution of the maximum of a Gaussian field with \(d\) parameters
• Small values of the maximum for the integral of fractional Brownian motion
• Likelihood ratio inequalities with applications to various mixtures
• On the equivalence of the tube and Euler characteristic methods for the distribution of the maximum of Gaussian fields over piecewise smooth domains
• Lower tail probabilities for Gaussian processes.
• Estimating the number of peaks in a random field using the Hadwiger characteristic of excursion sets, with applications to medical images
• Tail probabilities of the maxima of Gaussian random fields
• Excursions above high levels for stationary Gaussian processes
• Validity of the expected Euler characteristic heuristic
• Persistence of a continuous stochastic process with discrete-time sampling: Non-Markov processes
• The first-passage density of a continuous gaussian process to a general boundary
• Crossing probabilities for a square root boundary by a bessel process
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Bounds and asymptotic expansions for the distribution of the Maximum of a smooth stationary Gaussian process
• Random polynomials having few or no real zeros
• Boundary corrections for the expected Euler characteristic of excursion sets of random fields, with an application to astrophysics
• A Note on the Absence of Tangencies in Gaussian Sample Paths

This page was built for publication: Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes