A vector algorithm is provided for simulating stochastic stationary normal processes possessing rational spectral densities. Such an algorithm has been conceived and implemented to determine first-crossing-time (FCT) probability densities and the related statisics for the general case of time-varying boundaries. A self-contained description of the problem and the set up of the mathematical and computational framework are given. The results of numerous simulations are discussed and conclusions are drawn on the effect of boundary's oscillations and covariance's oscillatory components on determining qualitative and quantitative features of FCT densities. An example in which a program in Fortran language is exploited to obtain the statistics of the FCT is finally included.

A vectorized simulation procedure for computations of first crossing time densities of normal processes with oscillatory covariances

DI CRESCENZO, Antonio;
1992

Abstract

A vector algorithm is provided for simulating stochastic stationary normal processes possessing rational spectral densities. Such an algorithm has been conceived and implemented to determine first-crossing-time (FCT) probability densities and the related statisics for the general case of time-varying boundaries. A self-contained description of the problem and the set up of the mathematical and computational framework are given. The results of numerous simulations are discussed and conclusions are drawn on the effect of boundary's oscillations and covariance's oscillatory components on determining qualitative and quantitative features of FCT densities. An example in which a program in Fortran language is exploited to obtain the statistics of the FCT is finally included.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/3680078
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