Discrete and continuous expectation formulae for level-crossings, upcrossings and excursions of ellipsoidal processes

DOI10.1016/S0167-7152(00)00192-9zbMath0987.60052OpenAlexW2020145851MaRDI QIDQ5937044

Kunio Shimizu, Minoru Tanaka

Publication date: 12 July 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00192-9

zbMATH Keywords

expected length of excursionsexpected level-crossing countexpected level-crossing rateexpected number of upcrossingsstrictly stationary ellipsoidal process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

Related Items (5)

Variance Formulae for One- and Two-Step Level-Crossings of Ellipsoidal Processes ⋮ Localized level crossing random walk test robust to the presence of structural breaks ⋮ Discriminant analysis based on binary time series ⋮ Expected number of level-crossings for a strictly stationary ellipsoidal process. ⋮ Robustness of Zero Crossing Estimator

Cites Work

• On scale mixtures of normal distributions
• On spherically invariant random processes (Corresp.)
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