A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail (Q939394)
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scientific article; zbMATH DE number 5315301
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| English | A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail |
scientific article; zbMATH DE number 5315301 |
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A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail (English)
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22 August 2008
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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.
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Gaussian fields
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Rice formula
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Euler-Poincaré characteristic
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distribution of the maximum
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density of the maximum
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random matrices
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0.9402482
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0.93578434
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0.9346731
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0.93323755
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0.9265716
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0.9218384
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