Variance Formulae for One- and Two-Step Level-Crossings of Ellipsoidal Processes

DOI10.1080/01966324.2008.10737740MaRDI QIDQ5324084zbMATH OpenOpenAlexFDO

Authors Yuki Shikama, Kunio Shimizu

Publication date 3 August 2009

Published in American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01966324.2008.10737740

zbMATH Keywords

autoregressionorthant probabilityscale mixtures of normals

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Inference from stochastic processes (62M99)

Recommendations

• Expected number of level-crossings for a strictly stationary ellipsoidal process.
• Discrete and continuous expectation formulae for level-crossings, upcrossings and excursions of ellipsoidal processes
• On the second moment of the number of crossings by a stationary Gaussian process
• The expected number of level crossings for stationary, harmonisable, symmetric, stable processes
• scientific article; zbMATH DE number 176283

Cites work

• Absolute and incomplete moments of the multivariate normal distribution
• Discrete and continuous expectation formulae for level-crossings, upcrossings and excursions of ellipsoidal processes
• Expected number of level-crossings for a strictly stationary ellipsoidal process.
• scientific article; zbMATH DE number 50740 (Why is no real title available?)
• scientific article; zbMATH DE number 724468 (Why is no real title available?)

Cited in

(2)

• Expected number of level-crossings for a strictly stationary ellipsoidal process.
• Discrete and continuous expectation formulae for level-crossings, upcrossings and excursions of ellipsoidal processes

This page was built for publication: Variance Formulae for One- and Two-Step Level-Crossings of Ellipsoidal Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5324084)