Slepian noise approach for Gaussian and Laplace moving average processes
DOI10.1007/S10687-015-0227-ZzbMATH Open1329.60097OpenAlexW2145389543MaRDI QIDQ897844FDOQ897844
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
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Rice formulageneralized Laplace distributiongeneralized inverse Gaussian distributionlevel crossingsextreme episodesGaussian moving average processLaplace moving average processSlepian noisetilted Rayleigh distribution
Numerical analysis or methods applied to Markov chains (65C40) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)
Cites Work
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- Sample path behaviour of Χ2 surfaces at extrema
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Cited In (5)
- Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
- Empirically driven orthonormal bases for functional data analysis
- On the finiteness of the moments of the measure of level sets of random fields
- 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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