On asymptotic constants in the theory of extremes for Gaussian processes

A. B. Dieker; B. Yakir

doi:10.3150/13-bej534

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arXiv · 1206.5840

On asymptotic constants in the theory of extremes for Gaussian processes

A. B. Dieker·B. Yakir

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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.

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A. B. Dieker, B. Yakir. 2014-07-04. On asymptotic constants in the theory of extremes for Gaussian processes. https://doi.org/10.3150/13-bej534

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