The maximum of a Gaussian process with nonconstant variance (Q1065456)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 3923775
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The maximum of a Gaussian process with nonconstant variance |
scientific article; zbMATH DE number 3923775 |
Statements
The maximum of a Gaussian process with nonconstant variance (English)
0 references
1985
0 references
The author considers a mean zero Gaussian field over \([0,1]^ n\) whose variance has a unique maximum at some point \(\tau\). Under weak conditions related to Fernique's condition for sample continuity, it is shown that for \(u\to \infty\) \[ P(\max_{t\in [0,1]^ n}X(t)>u)\sim P(X(\tau)>u). \]
0 references
maximum
0 references
Fernique's condition
0 references
sample continuity
0 references
0.8826618790626526
0 references
0.8739798069000244
0 references
0.8695104718208313
0 references
0.8671698570251465
0 references
0.8671035766601562
0 references
