Some Problems in Simulating the Quantiles of the Maxima and Other Functionals of Gaussian Processes

Mahesh Chandra; Nozer D. Singpurwalla; Michael A. Stephens

doi:10.1080/00949658308810676

Author(s)

Mahesh Chandra
Nozer D. Singpurwalla
Michael A. Stephens

Detail(s)

Original language	English
Pages (from-to)	45-57
Journal / Publication	Journal of Statistical Computation and Simulation
Volume	18
Issue number	1
Publication status	Published - Jan 1983
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1080/00949658308810676 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0040482296&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(e2ad5c81-09c7-44bc-8255-8d4445a055c9).html

Abstract

In this paper we discuss some difficulties involved in simulating Gaussian processes by their discrete approximations. These difficulties are illustrated in the estimation of quantiles of functionals of the processes. For one problem these are functionals of a Gaussian process, and for another; functionals of a Brownian motion process; for the latter, some theoretical properties can be compared with the simulated results. © 1983, Taylor & Francis Group, LLC. All rights reserved.

Citation Format(s)

[ RIS ] [ BibTeX ]

Some Problems in Simulating the Quantiles of the Maxima and Other Functionals of Gaussian Processes. / Chandra, Mahesh; Singpurwalla, Nozer D.; Stephens, Michael A.
In: Journal of Statistical Computation and Simulation, Vol. 18, No. 1, 01.1983, p. 45-57.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Chandra, M, Singpurwalla, ND & Stephens, MA 1983, 'Some Problems in Simulating the Quantiles of the Maxima and Other Functionals of Gaussian Processes', Journal of Statistical Computation and Simulation, vol. 18, no. 1, pp. 45-57. https://doi.org/10.1080/00949658308810676

Chandra, M., Singpurwalla, N. D., & Stephens, M. A. (1983). Some Problems in Simulating the Quantiles of the Maxima and Other Functionals of Gaussian Processes. Journal of Statistical Computation and Simulation, 18(1), 45-57. https://doi.org/10.1080/00949658308810676

Chandra M, Singpurwalla ND, Stephens MA. Some Problems in Simulating the Quantiles of the Maxima and Other Functionals of Gaussian Processes. Journal of Statistical Computation and Simulation. 1983 Jan;18(1):45-57. doi: 10.1080/00949658308810676

Chandra, Mahesh ; Singpurwalla, Nozer D. ; Stephens, Michael A. / Some Problems in Simulating the Quantiles of the Maxima and Other Functionals of Gaussian Processes. In: Journal of Statistical Computation and Simulation. 1983 ; Vol. 18, No. 1. pp. 45-57.