Approximating Shepp's constants for the Slepian process

Jack Noonan, Anatoly Zhigljavsky

Slepian process $S(t)$ is a stationary Gaussian process with zero mean and covariance $ES(t)S(t^{\prime })=\max \{0,1-|t-t^{\prime }|\}.$ For any $T>0$ and $h>0$, define $F_T(h ) = {\rm Pr}\lef…