Some problems in simulating the quantiles of the maxima and other functionals of gaussian processes
Mahesh Chandra, Nozer D. Singpurwalla, Michael A. Stephens · Journal of Statistical Computation and Simulation · 1983
In this paper we discuss some difficulties involved in simulating Gaussian processes by their discrete approximations.These difficulties are illustrated in theestimation of quantiies of functionals of the processes.For oneproblem these are functionals of a Gaussian process,and for another,functionals of a Brownian motion process;for the latter,some theoretical properties can be compared with the simulated results.