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 Time for Correlated Gaussian Processes / V., Giorno; A. G., Nobile; Pirozzi, Enrica. - STAMPA. - 3643:(2005), pp. 447-456. ( Eurocast 2005) [10.1007/11556985_58].
Upcrossing First Passage Time for Correlated Gaussian Processes
PIROZZI, ENRICA
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.File in questo prodotto:
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