Distribution of the maximum of a Gaussian process by a Monte Carlo method

DOI10.1016/S0022-460X(87)80196-7zbMATH Open1235.65006OpenAlexW1970189116MaRDI QIDQ2879754FDOQ2879754

Authors: A. M. Hasofer 

Publication date: 5 April 2012

Published in: Journal of Sound and Vibration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0022-460x(87)80196-7

Recommendations

• scientific article; zbMATH DE number 1403126
• Monte Carlo estimates of extremes of stationary/nonstationary Gaussian processes
• Computing the distribution of the maximum of Gaussian random processes
• Computation of the distribution of the maximum of stationary Gaussian processes
• scientific article; zbMATH DE number 1867216

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Gaussian processes (60G15)

Cited In (5)

• Monte Carlo estimates of extremes of stationary/nonstationary Gaussian processes
• Computing the distribution of the maximum of Gaussian random processes
• Approxmating the distribution of the maximum of a dependent stationary sequence based on estimatimates from a genrating function
• Title not available (Why is that?)
• Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes

This page was built for publication: Distribution of the maximum of a Gaussian process by a Monte Carlo method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2879754)