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Bounds and asymptotic expansions for the distribution of the Maximum of a smooth stationary Gaussian process

Jean-Marc AzaïsChristine Cierco-AyrollesAlain Croquette — 2010

ESAIM: Probability and Statistics

This paper uses the Rice method [18] to give bounds to the distribution of the maximum of a smooth stationary Gaussian process. We give simpler expressions of the first two terms of the Rice series [3,13] for the distribution of the maximum. Our main contribution is a simpler form of the second factorial moment of the number of upcrossings which is in some sense a generalization of Steinberg 's formula ([7] p. 212). Then, we present a numerical application and asymptotic expansions...

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