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

DOI10.1051/PS:1999105MaRDI QIDQ4265262zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Large Deviations of Random Processes Close to Gaussian Ones
• Mathematical Analysis of Random Noise
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• Significance levels in exploratory projection pursuit
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Cited in

(16)

• Asymptotics for likelihood ratio tests under loss of identifiability
• Computing the distribution of the maximum of Gaussian random processes
• Position and height of the global maximum of a twice differentiable stochastic process
• 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
• Asymptotic Poisson character of extremes in non-stationary Gaussian models
• On the density of the maximum of smooth Gaussian processes
• An almost sure limit theorem for the maxima of smooth stationary Gaussian processes
• A review of some methods to estimate the tail of the distribution of the maximum of a Gaussian field
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• On the tails of the distribution of the maximum of a smooth stationary Gaussian process
• scientific article; zbMATH DE number 1867216 (Why is no real title available?)
• scientific article; zbMATH DE number 847815 (Why is no real title available?)
• The distribution of an absolute maximum of smoothed homogeneous stochastic process with Rayleigh and Gaussian components
• Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes
• The maximum of a Gaussian process with nonconstant variance: A sharp bound for the distribution tail

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Uses Software

• Maple

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