Variance Formulae for One- and Two-Step Level-Crossings of Ellipsoidal Processes

DOI10.1080/01966324.2008.10737740zbMath1175.62103OpenAlexW1992695474MaRDI QIDQ5324084

Kunio Shimizu, Yuki Shikama

Publication date: 3 August 2009

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.2008.10737740

zbMATH Keywords

autoregressionorthant probabilityscale mixtures of normals

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Inference from stochastic processes (62M99)

Cites Work

• Unnamed Item
• Unnamed Item
• Expected number of level-crossings for a strictly stationary ellipsoidal process.
• Absolute and incomplete moments of the multivariate normal distribution
• Discrete and continuous expectation formulae for level-crossings, upcrossings and excursions of ellipsoidal processes

This page was built for publication: Variance Formulae for One- and Two-Step Level-Crossings of Ellipsoidal Processes