On the Distribution of the Maximum of a Gaussian Process

DOI10.1137/1131015MaRDI QIDQ3738335zbMATH OpenOpenAlexFDO

Authors M. A. Lifshits

Publication date 1987

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1131015

zbMATH Keywords

maximum of Gaussian processmetric entropy

Mathematics Subject Classification ID

Gaussian processes (60G15)

Cited in

(11)

• Mass volume curves and anomaly ranking
• Gaussian measures on linear spaces
• Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Moments of the position of the maximum for GUE characteristic polynomials and for log-correlated Gaussian processes
• scientific article; zbMATH DE number 4104103 (Why is no real title available?)
• The exact distribution of the maximizing point of the two-sample empirical process
• scientific article; zbMATH DE number 847815 (Why is no real title available?)
• Asymptotic distribution of sum and maximum for Gaussian processes
• Altering Gaussian process to Student-t process for maximum distribution construction
• The maximum of a Gaussian process with nonconstant variance: A sharp bound for the distribution tail

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