Bounds and asymptotic expansions for the distribution of the Maximum of a smooth stationary Gaussian process

DOI10.1051/PS:1999105zbMATH Open0933.60032OpenAlexW2105287801MaRDI QIDQ4265262FDOQ4265262

Authors: Jean-Marc Azaïs, Christine Cierco-Ayrolles, Alain Croquette 

Publication date: 10 October 1999

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/104252

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Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Approximations to statistical distributions (nonasymptotic) (62E17) Stationary stochastic processes (60G10)

Cites Work

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• On the rate of convergence for extremes of mean square differentiable stationary normal processes
• Large Deviations of Random Processes Close to Gaussian Ones
• Surfaces aléatoires. Mesure géométrique des ensembles de niveau
• Une formule pour calculer la distribution du maximum d'un processus stochastique

Cited In (13)

• Position and height of the global maximum of a twice differentiable stochastic process
• Asymptotics for likelihood ratio tests under loss of identifiability
• Computing the distribution of the maximum of Gaussian random processes
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Expansions for the distribution and the maximum from distributions with an asymptotically gamma tail when a trend is present
• Mean number and correlation function of critical points of isotropic Gaussian fields and some results on GOE random matrices
• An almost sure limit theorem for the maxima of smooth stationary Gaussian processes
• The maximum of a Gaussian process with nonconstant variance: A sharp bound for the distribution tail
• Title not available (Why is that?)
• Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes
• Asymptotic Poisson character of extremes in non-stationary Gaussian models
• Title not available (Why is that?)
• On the tails of the distribution of the maximum of a smooth stationary Gaussian process

Uses Software

• Maple

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