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• W2950815218 abstract "In this paper we consider a classic problem concerning the high excursion probabilities of a Gaussian random field f living on a compact set T . We develop efficient computational methods for the tail probabilities ℙ {sup T f ( t ) &gt; b }. For each positive ε, we present Monte Carlo algorithms that run in constant time and compute the probabilities with relative error ε for arbitrarily large b . The efficiency results are applicable to a large class of Hölder continuous Gaussian random fields. Besides computations, the change of measure and its analysis techniques have several theoretical and practical indications in the asymptotic analysis of Gaussian random fields." @default.
• W2950815218 created "2019-06-27" @default.
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• W2950815218 date "2015-09-01" @default.
• W2950815218 modified "2023-09-24" @default.
• W2950815218 title "Rare-event simulation and efficient discretization for the supremum of Gaussian random fields" @default.
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• W2950815218 doi "https://doi.org/10.1017/s0001867800048837" @default.
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