Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
Publication:2325622
DOI10.1214/18-STS662zbMath1420.62071WikidataQ128052550 ScholiaQ128052550MaRDI QIDQ2325622
Publication date: 27 September 2019
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ss/1555056038
stochastic processlevel crossingscomputational statisticsstatistical computationfirst passagedistribution of maximummultivariate normal probabilitiesRice's formulaDurbin's formulaexcursion length distributionindependent interval assumptionperiod/amplitude distributionRIND programsuccessive crossing distance distributiontruncated normal momentsWAFO toolbox
Gaussian processes (60G15) Exact distribution theory in statistics (62E15) Order statistics; empirical distribution functions (62G30)
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