For a class of stationary Gaussian processes and for large correlation times, the asymptotic behavior of the upcrossing first passage time probability densities is investigated. Parallel simulations of sample paths of special stationary Gaussian processes for large correlations times provide a statistical validation of the theoretical results.

Upcrossing First Passage Times for correlated Gaussian Processes

GIORNO, Virginia;NOBILE, Amelia Giuseppina;
2005

Abstract

For a class of stationary Gaussian processes and for large correlation times, the asymptotic behavior of the upcrossing first passage time probability densities is investigated. Parallel simulations of sample paths of special stationary Gaussian processes for large correlations times provide a statistical validation of the theoretical results.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/1059022
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