Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/102951
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dc.titleBounds and estimators of a basic constant in extreme value theory of gaussian processes
dc.contributor.authorShao, Q.-M.
dc.date.accessioned2014-10-28T02:31:34Z
dc.date.available2014-10-28T02:31:34Z
dc.date.issued1996
dc.identifier.citationShao, Q.-M. (1996). Bounds and estimators of a basic constant in extreme value theory of gaussian processes. Statistica Sinica 6 (1) : 245-257. ScholarBank@NUS Repository.
dc.identifier.issn10170405
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/102951
dc.description.abstractLet Hα be the constant in the extremal theorem for Gaussian processes. In this note a lower and upper bound as well as two statistical estimators of Hα are given. Simulation results are also discussed. As a by-product of the proof, a more precise bound on the small ball probability of fractional Brownian motion is obtained.
dc.sourceScopus
dc.subjectExtremal theorem
dc.subjectGaussian process
dc.subjectSmall ball probability
dc.typeArticle
dc.contributor.departmentMATHEMATICS
dc.description.sourcetitleStatistica Sinica
dc.description.volume6
dc.description.issue1
dc.description.page245-257
dc.identifier.isiutNOT_IN_WOS
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