On asymptotic constants in the theory of extremes for Gaussian processes

A. B. Dieker, B. Yakir

Research output: Contribution to journalArticlepeer-review

54 Scopus citations

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.

Original languageAmerican English
Pages (from-to)1600-1619
Number of pages20
JournalBernoulli
Volume20
Issue number3
DOIs
StatePublished - Aug 2014

Keywords

  • Extremes
  • Gaussian processes
  • Monte Carlo simulation
  • Pickands' constants

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