Lower Bound on Maxima of Gaussian Processes
Publication: Journal of Engineering Mechanics
Volume 113, Issue 12
Abstract
A lower bound is developed on the probability that a stationary Gaussian process exceeds a threshold during a reference period. The bound can be applied to both differentiable and non-differentiable processes. It is based on (1) a discrete time series approximation of the process; and (2) a theorem bounding the absolute value of the difference between the largest value distributions of correlated and independent stationary Gaussian series with the same marginal distributions. Several examples are considered to evaluate the usefulness of the proposed lower bound. Results suggest that the bound can be satisfactory in many engineering applications.
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References
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Information & Authors
Information
Published In
Journal of Engineering Mechanics
Volume 113 • Issue 12 • December 1987
Pages: 1961 - 1967
Copyright
Copyright © 1987 ASCE.
History
Published online: Dec 1, 1987
Published in print: Dec 1987
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