On asymptotic constants in the theory of extremes for Gaussian processes
Probability
2015-03-13 v3
Abstract
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.
Keywords
Cite
@article{arxiv.1206.5840,
title = {On asymptotic constants in the theory of extremes for Gaussian processes},
author = {A. B. Dieker and B. Yakir},
journal= {arXiv preprint arXiv:1206.5840},
year = {2015}
}
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)