Accession Number:

ADA175029

Title:

Distribution of the Maximum of a Gaussian Process by Monte Carlo.

Descriptive Note:

Technical rept. 1 Sep 85-30 Sep 86,

Corporate Author:

NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s):

Report Date:

1986-07-01

Pagination or Media Count:

32.0

Abstract:

First a simple practical procedure for approximating a stationary Gaussian process over a finite interval by a trigonometric polynomial with predetermined error is described. The approximation is then used to calculate the distribution of the maximum, using a novel Monte Carlo method with a control variable which drastically reduces the variance. Finally, the outlined approach is compared to the moving-average technique and shown to be superior for continuous-time, narrow-band processes.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE