Exact quantiles of Gaussian process extremes

DOI10.1016/J.SPL.2024.110173MaRDI QIDQ6589422zbMATH OpenFDO

Authors L. Yang

Publication date 19 August 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110173

zbMATH Keywords

continuous distributiondensityfinite rankstrictly increasing

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Nonparametric regression and quantile regression (62G08)

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Cites work

• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
• A Note on the Absence of Tangencies in Gaussian Sample Paths
• Comparison and anti-concentration bounds for maxima of Gaussian random vectors
• scientific article; zbMATH DE number 51414 (Why is no real title available?)
• Linear processes in function spaces. Theory and applications
• On the density of the maximum of smooth Gaussian processes
• Simultaneous confidence bands for nonparametric regression with functional data
• Simultaneous inference for the mean function based on dense functional data
• Statistical Inference for Functional Time Series
• The Density of the Distribution of the Maximum of a Gaussian Process

Cited in

(5)

• Continuity of Gaussian extreme distributions
• Simultaneous inference for covariance function of next-generation functional data
• Inference and prediction for ARCH time series via innovation distribution function
• Strict monotonicity of stochastic process extreme distributions
• Strictly monotonic distribution functions of stochastic processes functionals

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