Displaying similar documents to “On the tails of the distribution of the maximum of a smooth stationary Gaussian process”

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

Jean-Marc Azaïs, Christine Cierco-Ayrolles, Alain Croquette (2010)

ESAIM: Probability and Statistics

Similarity:

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...

A Gaussian oscillator.

Burdzy, Krzysztof, White, David (2004)

Electronic Communications in Probability [electronic only]

Similarity:

On the tails of the distribution of the maximum of a smooth stationary gaussian process

Jean-Marc Azaïs, Jean-Marc Bardet, Mario Wschebor (2002)

ESAIM: Probability and Statistics

Similarity:

We study the tails of the distribution of the maximum of a stationary gaussian process on a bounded interval of the real line. Under regularity conditions including the existence of the spectral moment of order 8, we give an additional term for this asymptotics. This widens the application of an expansion given originally by Piterbarg [11] for a sufficiently small interval.

Linear distribution processes.

Bel, L., Oppenheim, G., Robbiano, L., Viano, M.C. (1998)

Journal of Applied Mathematics and Stochastic Analysis

Similarity: