论文信息 - The effect of the Markov chain condition on the prediction of extreme values

The effect of the Markov chain condition on the prediction of extreme values

The purpose of this paper is to study the effect of correlation on extreme value estimates of a narrow-band, stationary Gaussian process. This is done by introducing a Markov chain condition on the sequence of peak values of the process. It is shown that this leads to extreme value estimates that are smaller than those obtained by standard order statistics. Under specified conditions, an explicit formula is obtained for the extreme value estimates resulting from the introduction of the Markov chain condition. Due to the close connection between extreme value statistics and first passage time statistics, a discussion of the impact of the results on the first passage time problem is also given.

Arvid Naess | A. Naess

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