Slepian noise approach for gaussian and Laplace moving average processes
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| 008 | 210128e20151201xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s10687-015-0227-z |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-015-0227-z | ||
| 245 | 0 | 0 | |a Slepian noise approach for gaussian and Laplace moving average processes |h [Elektronische Daten] |c [K. Podgórski, I. Rychlik, J. Wallin] |
| 520 | 3 | |a Slepian models are derived for a stochastic process observed at level crossings of a moving average driven by a gaussian or Laplace noise. In particular, a Slepian model for the noise - the Slepian noise - is developed. For Laplace moving average process a method of sampling from the Slepian noise is also obtained by a Gibbs sampler. This facilitates comparison of behavior at crossing of a level between a gaussian process and a non-gaussian one and allows to study a random processes sampled at crossings of a non-gaussian moving average process. In a numerical study based on the method it is observed that the behavior of a non-gaussian moving average process at high level crossings is fundamentally different from that for the gaussian case, which is in line with some recent theoretical results on the subject. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Rice formula |2 nationallicence | |
| 690 | 7 | |a Level crossings |2 nationallicence | |
| 690 | 7 | |a Generalized Laplace distribution |2 nationallicence | |
| 690 | 7 | |a Moving average process |2 nationallicence | |
| 690 | 7 | |a Extreme episodes |2 nationallicence | |
| 690 | 7 | |a Tilted Rayleigh distribution |2 nationallicence | |
| 690 | 7 | |a Generalized inverse gaussian distribution |2 nationallicence | |
| 700 | 1 | |a Podgórski |D K. |u Statistics, Lund University, Lund, Sweden |4 aut | |
| 700 | 1 | |a Rychlik |D I. |u Mathematical Statistics, Chalmers University, Gothenburg, Sweden |4 aut | |
| 700 | 1 | |a Wallin |D J. |u Mathematical Statistics, Chalmers University, Gothenburg, Sweden |4 aut | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 665-695 |x 1386-1999 |q 18:4<665 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-015-0227-z |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-015-0227-z |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Podgórski |D K. |u Statistics, Lund University, Lund, Sweden |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Rychlik |D I. |u Mathematical Statistics, Chalmers University, Gothenburg, Sweden |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Wallin |D J. |u Mathematical Statistics, Chalmers University, Gothenburg, Sweden |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/4(2015-12-01), 665-695 |x 1386-1999 |q 18:4<665 |1 2015 |2 18 |o 10687 | ||