Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes
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Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)
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Cites work
- A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes
- False alarm and correct detection probabilities over a time interval for restricted classes of failure detection algorithms
- scientific article; zbMATH DE number 67146 (Why is no real title available?)
- scientific article; zbMATH DE number 1242259 (Why is no real title available?)
- OPTIMAL PREDICTION OF CATASTROPHES IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Optimal prediction of level crossings in Gaussian processes and sequences
Cited in
(4)- Optimal prediction of level crossings in Gaussian processes and sequences
- Optimal level-crossing prediction for jump linear MIMO dynamical systems
- Errata for “A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes” [Oct 10 5083-5096]
- Level crossing prediction with neural networks
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