The effect of the Markov chain condition on the prediction of extreme values

DOI10.1016/S0022-460X(84)80007-3zbMATH Open0545.60050OpenAlexW2078957071MaRDI QIDQ3334725FDOQ3334725

Authors:

Publication date: 1984

Published in: Journal of Sound and Vibration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0022-460x(84)80007-3

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zbMATH Keywords

stationary Gaussian processfirst passage time statisticsextreme value estimates

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (2)

• Title not available (Why is that?)
• Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit

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