On asymptotic constants in the theory of extremes for Gaussian processes

By Antonius B. Dieker, Benjamin Yakir. 2012

66 citations recorded by the source corpus.

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.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7e9286f50742405001c6ee6b1f449a50a478d861

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Enkelejd Hashorva
2. Sebastian Engelke
3. Krzysztof Debicki

In Statistics and Probability

1. Enkelejd Hashorva
2. Krzysztof Debicki
3. Sebastian Engelke
4. Zdravko I. Botev

Citations in the corpus

• Generalized Pickands constants and stationary max-stable processes (2016, methodology): “In order to give a self-contained proof (which follows along the same ideas as in [1]) we introduce the same notation as therein.”