On asymptotic constants in the theory of extremes for Gaussian processes

@inproceedings{Dieker2014OnAC,
  title={On asymptotic constants in the theory of extremes for Gaussian processes},
  author={A. B. Dieker and Benjamin Yakir},
  year={2014}
}
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. 

Figures from this paper.

References

Publications referenced by this paper.
SHOWING 1-10 OF 33 REFERENCES

Convergence of probability measures

P. Billingsley
  • John Wiley & Sons Inc., New York
  • 1968
VIEW 2 EXCERPTS
HIGHLY INFLUENTIAL

A PTAS for Computing the Supremum of Gaussian Processes

  • 2012 IEEE 53rd Annual Symposium on Foundations of Computer Science
  • 2012
VIEW 1 EXCERPT

Bounds on the suprema of Gaussian processes

A. J. Harper
  • and omega results for the sum of a random multiplicative function. arxiv.org/abs/1012.0210
  • 2010
VIEW 2 EXCERPTS