期刊名称：Latin American Journal of Probability and Mathematical Statistics
电子版ISSN：1980-0436
出版年度：2019
卷号：XVI
期号：1
页码：711-728
DOI：10.30757/ALEA.v16-25
出版社：Instituto Nacional De Matemática Pura E Aplicada
摘要：This paper aims at comparing theoretical approximations of the tailof the maximum of stochastic processes and the corresponding numerical evaluations.More particularly, we focus on the Pickands or double sum method, the Ricemethod, the Euler Characteristic method and a new one called the Poisson method.The numerical evaluation, performed using mainly Quasi Monte-Carlo integrationand adaptations of the programs of Genz, show the domains of validity of eachmethod.
