A simulation procedure of stationary normal processes with oscillatory covariances is implemented to estimate first passage time densities through pairs of smooth boundaries, a constant and a periodic one. Through the performed simulations, conclusions are drawn on the effects of the periodic components of covariances and boundaries.
Evaluation of first passage time densities for normal processes via a simulation procedure / E., D.N., Pirozzi, E., Ricciardi, L.M., Rinaldi, S.. - STAMPA. - (1996), pp. 55-60. (ISCS'96 Roma 18-19 Dicembre 1996).
Evaluation of first passage time densities for normal processes via a simulation procedure
PIROZZI, ENRICA;RICCIARDI, LUIGI MARIA;RINALDI, SILVANA
1996
Abstract
A simulation procedure of stationary normal processes with oscillatory covariances is implemented to estimate first passage time densities through pairs of smooth boundaries, a constant and a periodic one. Through the performed simulations, conclusions are drawn on the effects of the periodic components of covariances and boundaries.File in questo prodotto:
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