Computation of the distribution of the maximum of stationary Gaussian processes
DOI10.1007/S11009-012-9293-8zbMATH Open1307.60069OpenAlexW1972146467MaRDI QIDQ2513652FDOQ2513652
Authors: Jean-Marc Azaïs, A. Genz 
Publication date: 28 January 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-012-9293-8
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- scientific article; zbMATH DE number 1403126
Monte Carlo methods (65C05) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Software, source code, etc. for problems pertaining to probability theory (60-04) Stationary stochastic processes (60G10) Sample path properties (60G17)
Cites Work
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- Level Sets and Extrema of Random Processes and Fields
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- Crossing probabilities for a square root boundary by a bessel process
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- Testing for a signal with unknown location and scale in a stationary Gaussian random field
- Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
- The length heuristic for simultaneous hypothesis tests
- An asymptotic test for quantitative gene detection. (Un test asymptotique pour la detection de gènes quantitatifs)
- Evaluating nearly singular multinormal expectations with application to wave distributions
- Numerical evaluation of singular multivariate normal distributions
Cited In (8)
- Distribution of the maximum of a Gaussian process by a Monte Carlo method
- Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
- Computing the distribution of the maximum of Gaussian random processes
- The distribution of maxima of approximately Gaussian random fields
- On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
- Title not available (Why is that?)
- Altering Gaussian process to Student-t process for maximum distribution construction
- Title not available (Why is that?)
Uses Software
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