By a suitable simulation procedure, we estimate first passage time probability densities through one constant boundary for stationary normal processes possessing a rational spectral density and a three-parameter covariance function. The effects of the parameters and of the location of the boundary on the shape of such densities are analyzed.
On the estimation of first passage time densities for stationary normal processes / E., DI NARDO; Pirozzi, Enrica. - STAMPA. - 41:(1997), pp. 383-387.
On the estimation of first passage time densities for stationary normal processes
PIROZZI, ENRICA
1997
Abstract
By a suitable simulation procedure, we estimate first passage time probability densities through one constant boundary for stationary normal processes possessing a rational spectral density and a three-parameter covariance function. The effects of the parameters and of the location of the boundary on the shape of such densities are analyzed.File in questo prodotto:
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