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Gaussian functions / distributions / processes...

1 vote
1 answer
656 views

Definite integral of 2d Gaussian

Is there some analytic expression or even an approximation of the definite 2D Gaussian integral of the form: $$E=\int_a^b Dg \int_{cg+d}^\infty Dh$$ where $Dg=\frac{dg}{\sqrt{2 \pi}} e^{-g^2/2}$ and a, …
Uri Cohen's user avatar
  • 373
6 votes
2 answers
653 views

Infimum of Gaussian process

Consider a Gaussian Process $g\sim GP(\mu,k)$ with mean zero $\mu\equiv0$ and continues covariance $k(t_1,t_2)=k(|t_1-t_2|)$ defined on the interval $A=[0,T]$. …
Uri Cohen's user avatar
  • 373
4 votes

Infimum of Gaussian process

Denote a Gaussian Process $g\sim GP(\mu,k)$ with mean zero $\mu\equiv0$ and continues covariance $k(t_{1},t_{2})=k(|t_{1}-t_{2}|)$ defined on the interval $[0,T]$ and also $m=\inf_{t\in[0,T]}g(t)$. …
Uri Cohen's user avatar
  • 373