TY - JOUR
T1 - Some Problems in Simulating the Quantiles of the Maxima and Other Functionals of Gaussian Processes
AU - Chandra, Mahesh
AU - Singpurwalla, Nozer D.
AU - Stephens, Michael A.
PY - 1983/1
Y1 - 1983/1
N2 - 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.
AB - 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.
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U2 - 10.1080/00949658308810676
DO - 10.1080/00949658308810676
M3 - RGC 21 - Publication in refereed journal
SN - 0094-9655
VL - 18
SP - 45
EP - 57
JO - Journal of Statistical Computation and Simulation
JF - Journal of Statistical Computation and Simulation
IS - 1
ER -