Optimal prediction of level crossings in Gaussian processes and sequences (Q1068445)

Let \(\eta\) (t) be stationary, Gaussian, and suppose one wants to predict the future upcrossings of a certain level u. The paper investigates criteria for a good level crossing predictor, and restates in simple form a result by \textit{J. de Maré} [Ann. Probab. 8, 841-850 (1980; Zbl 0441.62086)] on optimal prediction. Write \({\hat \eta}{}_ t(t+h)\) for the mean square predictor of \(\eta (t+h)\) at time t, and let \({\hat \zeta}{}_ t(t+h)\) be the conditional expectation of \(\eta '(t+h)\) given observed data and given \(\eta (t+h)=u.\) It is shown that an alarm which predicts an upcrossing at \(t+h\) if \({\hat \eta}{}_ t(t+h)\) differs from u by a quantity that is a certain function of \({\hat \zeta}{}_ t(t+h)\) is optimal in the sense that it maximizes the detection probability for a fixed total alarm time. Explicit formulas are given for the upcrossing risks at alarm, detection probability, and total alarm time. In an example the optimal alarm is compared to a naive alarm which predicts an upcrossing if \({\hat \eta}{}_ t(t+h)\) differs from u by a fixed proportion of the residual standard deviation. The optimal alarm locates the upcrossings more precisely and at an earlier stage than the naive alarm, which has a tendency to give late alarms.