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Slepian noise appro...
Slepian noise approach for Gaussian and Laplace moving average processes
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- Podgorski, Krys (författare)
- Lunds universitet,Lund University
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- Rychlik, Igor, 1952 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematisk statistik,Department of Mathematical Sciences, Mathematical Statistics,Chalmers tekniska högskola,Chalmers University of Technology,University of Gothenburg
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- Wallin, Jonas, 1981 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematisk statistik,Department of Mathematical Sciences, Mathematical Statistics,Chalmers tekniska högskola,Chalmers University of Technology,University of Gothenburg
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- Podgorski, Krzysztof (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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(creator_code:org_t)
- 2015-10-07
- 2015
- Engelska.
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Ingår i: Extremes. - : Springer Science and Business Media LLC. - 1386-1999 .- 1572-915X. ; 18:4, s. 665-695
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Abstract
Ämnesord
Stäng
- Slepian models are derived for a stochastic process observed at level crossings of a moving average driven by a gaussian or Laplace noise. In particular, a Slepian model for the noise – the Slepian noise – is developed. For Laplace moving average process a method of sampling from the Slepian noise is also obtained by a Gibbs sampler. This facilitates comparison of behavior at crossing of a level between a gaussian process and a non-gaussian one and allows to study a random processes sampled at crossings of a non-gaussian moving average process. In a numerical study based on the method it is observed that the behavior of a non-gaussian moving average process at high level crossings is fundamentally different from that for the gaussian case, which is in line with some recent theoretical results on the subject.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Rice formula
- Level crossings
- Generalized Laplace distribution
- Moving average process
- Extreme episodes
- Tilted Rayleigh distribution
- Generalized inverse gaussian distribution
- Rice formula Level crossings
- Extreme episodes
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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