Asymptotic crossing rates for stationary Gaussian vector processes (Q1105278): Difference between revisions
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Revision as of 22:05, 19 March 2024
scientific article
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English | Asymptotic crossing rates for stationary Gaussian vector processes |
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Asymptotic crossing rates for stationary Gaussian vector processes (English)
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1988
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The expected number of crossings of a differentiable Gaussian vector process through a hypersurface is given by a surface integral over this surface. Simple asymptotic approximations for these integrals are derived. The results are obtained by a generalization of the Laplace method for the asymptotic expansion of multidimensional integrals. With these formulas approximations for the extreme value distribution of functions of vector processes can be found.
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hypersurface
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asymptotic approximations
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asymptotic expansion of multidimensional integrals
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extreme value distribution
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