MAGP (Maximum Analysis of Gaussian Processes) is a MATLAB
toolbox for computing the distribution of the maximum of a Gaussian
See example results: magp_example.html.
is the practical version of the results presented
(2006) where it is assumed that the Gaussian processes are regular in some sense.
This code deals with centered but non necessarily stationary Gaussian processes. It could be extended to non centered Gaussian processes.
This toolbox is based on the routine rind written by Brodtkorb (2004) available in the WAFO toolbox. Consequently, if you want to use MAGP, you need to download WAFO.
WAFO versions exist for the computer types pcwin, sol2 and alpha (type lower(computer) at the Matlab prompt to find out your computer type).
MAGP is given here under the pcwin version. However, it can be easily extended to sol2 or alpha type.
compressed files: magp.zip
compressed files: wafo-2.1.1.zip
pcwin executable files: wafo-2.1.0-2.1.1_pcwin.zip
Brodtkorb, Per Andreas (2004)
Numerical evaluation of multinormal expectations In Lund university report series.
Brodtkorb, P.A., Johannesson, P., Lindgren, G., Rychlik, I.,
Rydén, J., and Sjö, E. (2000)
WAFO - a Matlab toolbox for
analysis of random waves and loads. Proc. of the 10th
Int. Offshore and Polar Eng. conf., Seattle,
Vol III, pp. 343-350.
[Abstract: HTML | Paper: PS (380 kb)]
Mercadier, Cécile (2006)
Numerical bounds for the distribution of the maximum of one- and
two-dimensional processes, Adv. in Appl. Probab. 38, no. 1,
149-170. [Abstract: HTML