Slepian noise approach for Gaussian and Laplace moving average processes

DOI10.1007/S10687-015-0227-ZMaRDI QIDQ897844zbMATH OpenOpenAlexFDO

Authors Krzysztof Podgórski, Igor Rychlik, Jonas Wallin

Publication date 8 December 2015

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-015-0227-z

zbMATH Keywords

Rice formulageneralized Laplace distributiongeneralized inverse Gaussian distributionlevel crossingsextreme episodesGaussian moving average processLaplace moving average processSlepian noisetilted Rayleigh distribution

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 1614382 (Why is no real title available?)
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 3226547 (Why is no real title available?)
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• Large Excursions of Gaussian Processes
• Level Sets and Extrema of Random Processes and Fields
• NIST handbook of mathematical functions
• Note on the estimation of crossing intensity for Laplace moving average
• Reflections on Rice's Formulae for Level Crossings - History, Extensions and Use
• Sample path behaviour of Χ² surfaces at extrema
• Slepian Models and Regression Approximations in Crossing and Extreme Value Theory
• Slepian models for X²-processes with dependent components with application to envelope upcrossings
• Statistical properties of the generalized inverse Gaussian distribution
• The structure of Gaussian fields near a level crossing
• Values of Mills' Ratio of Area to Bounding Ordinate and of the Normal Probability Integral for Large Values of the Argument

Cited in

(5)

• Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
• On the finiteness of the moments of the measure of level sets of random fields
• Empirically driven orthonormal bases for functional data analysis
• Slepian Models and Regression Approximations in Crossing and Extreme Value Theory
• The relation between wave asymmetry and particle orbits analysed by Slepian models

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Uses Software

• DLMF
• R
• AS 241

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