Optimal prediction of level crossings in Gaussian processes and sequences

DOI10.1214/aop/1176992909zbMath0582.60050OpenAlexW2065506282MaRDI QIDQ1068445

Georg Lindgren

Publication date: 1985

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992909

zbMATH Keywords

detection probabilityoptimal alarmlevel crossing predictormean square predictor

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25)

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Optimal level-crossing prediction for jump linear MIMO dynamical systems ⋮ Prediction of catastrophes in space over time ⋮ Optimal alarm systems for autoregressive processes. A Bayesian approach ⋮ Statistical Surveillance. Optimality and Methods ⋮ Level crossing prediction with neural networks ⋮ Optimal surveillance of a failure system ⋮ Extreme value analysis of optimal level‐crossing prediction for linear Gaussian processes ⋮ Optimal Alarm Systems for Count Processes ⋮ Change-point problems: bibliography and review

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