The distribution of maxima of approximately Gaussian random fields
| Autor: | Nardi, Yuval, Siegmund, David O., Yakir, Benjamin |
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| Rok vydání: | 2007 |
| Předmět: | |
| Zdroj: | Annals of Statistics 2008, Vol. 36, No. 3, 1375-1403 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1214/07-AOS511 |
| Popis: | Motivated by the problem of testing for the existence of a signal of known parametric structure and unknown ``location'' (as explained below) against a noisy background, we obtain for the maximum of a centered, smooth random field an approximation for the tail of the distribution. For the motivating class of problems this gives approximately the significance level of the maximum score test. The method is based on an application of a likelihood-ratio-identity followed by approximations of local fields. Numerical examples illustrate the accuracy of the approximations. Comment: Published in at http://dx.doi.org/10.1214/07-AOS511 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) |
| Databáze: | arXiv |
| Externí odkaz: |
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