A detailed study of first- and second-order approximations to the first passage time conditional probability density function (p.d.f.) of a stationary Gaussian process with differentiable sample paths is provided both theoretically and numerically. An evaluation of mode and peak value of this function is also given and asymptotic expressions are derived for the functions Wn(t1, t2, …, tn|;x0) (n 1) appearing in the series expansion of the first passage time probability density function.
On the evaluation of first passage time densities for Gaussian processes / Ricciardi, LUIGI MARIA; S., Sato. - In: SIGNAL PROCESSING. - ISSN 0165-1684. - STAMPA. - 11:4(1986), pp. 339-357. [doi:10.1016/0165-1684(86)90076-9]
On the evaluation of first passage time densities for Gaussian processes
RICCIARDI, LUIGI MARIA;
1986
Abstract
A detailed study of first- and second-order approximations to the first passage time conditional probability density function (p.d.f.) of a stationary Gaussian process with differentiable sample paths is provided both theoretically and numerically. An evaluation of mode and peak value of this function is also given and asymptotic expressions are derived for the functions Wn(t1, t2, …, tn|;x0) (n 1) appearing in the series expansion of the first passage time probability density function.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
