The distribution of maxima of approximately Gaussian random fields

DOI10.1214/07-AOS511zbMATH Open1148.60029arXiv0710.5797MaRDI QIDQ930661FDOQ930661

Authors: Yuval Nardi, David Siegmund, B. Yakir 

Publication date: 1 July 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Motivated by the problem of testing for the existence of a signal of known parametric structure and unknown ``location (as explained below) against a noisy background, we obtain for the maximum of a centered, smooth random field an approximation for the tail of the distribution. For the motivating class of problems this gives approximately the significance level of the maximum score test. The method is based on an application of a likelihood-ratio-identity followed by approximations of local fields. Numerical examples illustrate the accuracy of the approximations.

Full work available at URL: https://arxiv.org/abs/0710.5797

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zbMATH Keywords

extreme valuesrandom fieldasymptotically Gaussian

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (32)

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