The effect of the Markov chain condition
✍
A. Naess
📂
Article
📅
1984
🏛
Elsevier Science
🌐
English
⚖ 883 KB
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 ar