Approximating probabilities of first passage in a particular gaussian process

DOI10.1080/03610928608829215MaRDI QIDQ3808955zbMATH OpenOpenAlexFDO

Authors Joseph Glaz, Joseph Naus

Publication date 1986

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928608829215

zbMATH Keywords

approximationexpected waiting timeGaussian processtwo-parameter Gaussian fieldwaiting times of first passage

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Random fields (60G60)

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Cites work

• Approximations for Distributions of Scan Statistics
• First Passage Time for a Particular Gaussian Process
• Gaussian processes, moving averages and quick detection problems
• On the Distributions of Scan Statistics
• On the increments of Wiener and related processes
• On the threshold effect in radar range estimation (Corresp.)
• The asymptotic distribution of the scan statistic under uniformity
• The supremum of a particular Gaussian field

Cited in

(3)

• scientific article; zbMATH DE number 3958685 (Why is no real title available?)
• First‐passage densities of controlled Gaussian processes
• Approximate technique for calculating average time until a given high level is first crossed by a Gaussian random process

Describes a project that uses

Uses Software

• IMSL Numerical Libraries

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