Computation of the distribution of the maximum of stationary Gaussian processes

DOI10.1007/S11009-012-9293-8MaRDI QIDQ2513652zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stationary Gaussian processesdistribution of the maximumquasi-Monte-Carlo integration

Mathematics Subject Classification ID

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)

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Cites work

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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
• The distribution of maxima of approximately Gaussian random fields
• Computing the distribution of the maximum of Gaussian random processes
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• scientific article; zbMATH DE number 4104103 (Why is no real title available?)
• Altering Gaussian process to Student-t process for maximum distribution construction
• scientific article; zbMATH DE number 7054953 (Why is no real title available?)

Describes a project that uses

Uses Software

• QSIMVN
• MAGP
• WAFO

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