Optimal prediction of level crossings in Gaussian processes and sequences

DOI10.1214/AOP/1176992909zbMATH Open0582.60050OpenAlexW2065506282MaRDI QIDQ1068445FDOQ1068445

Authors: Georg Lindgren 

Publication date: 1985

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992909

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zbMATH Keywords

detection probabilityoptimal alarmlevel crossing predictormean square predictor

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25)

Cited In (10)

• Errata for “A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes” [Oct 10 5083-5096]
• Optimal surveillance of a failure system
• Optimal Alarm Systems for Count Processes
• Optimal level-crossing prediction for jump linear MIMO dynamical systems
• Optimal alarm systems for autoregressive processes. A Bayesian approach
• Prediction of catastrophes in space over time
• Level crossing prediction with neural networks
• Statistical Surveillance. Optimality and Methods
• Change-point problems: bibliography and review
• Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes

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