arXiv Analytics

Sign in

arXiv:1206.5840 [math.PR]AbstractReferencesReviewsResources

On asymptotic constants in the theory of extremes for Gaussian processes

A. B. Dieker, B. Yakir

Published 2012-06-25, updated 2014-07-04Version 3

This paper gives a new representation of Pickands' constants, which arise in the study of extremes for a variety of Gaussian processes. Using this representation, we resolve the long-standing problem of devising a reliable algorithm for estimating these constants. A detailed error analysis illustrates the strength of our approach.

Comments: Published in at http://dx.doi.org/10.3150/13-BEJ534 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Journal: Bernoulli 2014, Vol. 20, No. 3, 1600-1619
Categories: math.PR
Related articles: Most relevant | Search more
arXiv:0903.2738 [math.PR] (Published 2009-03-16, updated 2010-11-15)
Stationary systems of Gaussian processes
arXiv:1505.04292 [math.PR] (Published 2015-05-16)
Exact confidence intervals of the extended Orey index for Gaussian processes
arXiv:0707.3928 [math.PR] (Published 2007-07-26, updated 2009-10-15)
Asymptotic expansions for functions of the increments of certain Gaussian processes

Links

Toolbox