Probability distribution of the maximum of a smooth temporal signal

  • Sire C
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Abstract

We present an approximate calculation for the distribution of the maximum of a smooth stationary
temporal signal Xt. As an application, we compute the persistence exponent associated with the
probability that the process remains below a nonzero level M. When Xt is a Gaussian process, our
results are expressed explicitly in terms of the two-time correlation function, ft hX0Xti.

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Authors

  • Clément Sire

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