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The supremum distribution of another Gaussian process

Published online by Cambridge University Press:  14 July 2016

Noel Cressie and
Robert W. Davis
Noel Cressie*
Affiliation:
The Flinders University of South Australia
Robert W. Davis*
Affiliation:
The Flinders University of South Australia
*
∗ Postal address: School of Mathematical Sciences, The Flinders University of South Australia, Bedford Park, SA 5042, Australia.
∗ Postal address: School of Mathematical Sciences, The Flinders University of South Australia, Bedford Park, SA 5042, Australia.
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Abstract

A formula is derived for the supremum of a stationary Gaussian process which has a correlation function that is tent-like in shape, until it flattens out at a constant negative value. Examples and graphs are presented in the last section.

Keywords

NEGATIVE CORRELATIONSTATIONARY GAUSSIAN PROCESSSUPREMUM DISTRIBUTION

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 18 , Issue 1 , March 1981, pp. 131 - 138
Copyright
Copyright © Applied Probability Trust 

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