Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes

DOI10.1111/J.1467-9892.2012.00791.XzbMATH Open1281.60039OpenAlexW1854531923MaRDI QIDQ5397935FDOQ5397935

Authors: Rodney A. Martin 

Publication date: 25 February 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00791.x

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zbMATH Keywords

Kalman filteringapproximation methodsprediction methodsalarm systemslevel-crossing problems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Statistics of extreme values; tail inference (62G32) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Optimal prediction of level crossings in Gaussian processes and sequences
• OPTIMAL PREDICTION OF CATASTROPHES IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• 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
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (4)

• Errata for “A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes” [Oct 10 5083-5096]
• Optimal level-crossing prediction for jump linear MIMO dynamical systems
• Level crossing prediction with neural networks
• Optimal prediction of level crossings in Gaussian processes and sequences

Uses Software

• QSIMVN

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