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.
Citation
A.B. Dieker. B. Yakir. "On asymptotic constants in the theory of extremes for Gaussian processes." Bernoulli 20 (3) 1600 - 1619, August 2014. https://doi.org/10.3150/13-BEJ534
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