Work

On asymptotic constants in the theory of extremes for Gaussian processes

Year: 2014

Type: article

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.

Source: Bernoulli

DOI: 10.3150/13-bej534

Authors: A.B. Dieker, B. Yakir

Institutions: Georgia Institute of Technology, Hebrew University of Jerusalem

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

Funders: National Science Foundation, Division of Civil, Mechanical and Manufacturing Innovation

Award: CAREER: Stochastic Processes in High Dimensions: from Asymptotic Analysis to Algorithms