On asymptotic constants in the theory of extremes for Gaussian processes

A. B. Dieker; B. Yakir

doi:10.3150/13-BEJ534

On asymptotic constants in the theory of extremes for Gaussian processes

A. B. Dieker, B. Yakir

Department of Statistics

Research output: Contribution to journal › Article › peer-review

55 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 language	English
Pages (from-to)	1600-1619
Number of pages	20
Journal	Bernoulli
Volume	20
Issue number	3
DOIs	https://doi.org/10.3150/13-BEJ534
State	Published - Aug 2014

Keywords

Extremes
Gaussian processes
Monte Carlo simulation
Pickands' constants

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10.3150/13-BEJ534

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On asymptotic constants in the theory of extremes for Gaussian processes

Abstract

Keywords

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