Bernoulli

  • Bernoulli
  • Volume 20, Number 3 (2014), 1600-1619.

On asymptotic constants in the theory of extremes for Gaussian processes

A.B. Dieker and B. Yakir

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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.

Article information

Source
Bernoulli, Volume 20, Number 3 (2014), 1600-1619.

Dates
First available in Project Euclid: 11 June 2014

Permanent link to this document
https://projecteuclid.org/euclid.bj/1402488951

Digital Object Identifier
doi:10.3150/13-BEJ534

Mathematical Reviews number (MathSciNet)
MR3217455

Zentralblatt MATH identifier
1298.60043

Keywords
extremes Gaussian processes Monte Carlo simulation Pickands’ constants

Citation

Dieker, A.B.; Yakir, B. On asymptotic constants in the theory of extremes for Gaussian processes. Bernoulli 20 (2014), no. 3, 1600--1619. doi:10.3150/13-BEJ534. https://projecteuclid.org/euclid.bj/1402488951


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