Extreme value analysis of optimal level‐crossing prediction for linear Gaussian processes

DOI10.1111/J.1467-9892.2012.00791.XzbMath1281.60039OpenAlexW1854531923MaRDI QIDQ5397935

Rodney A. Martin

Publication date: 25 February 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00791.x

zbMATH Keywords

approximation methodsKalman filteringprediction methodsalarm systemslevel-crossing problems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Statistics of extreme values; tail inference (62G32) Prediction theory (aspects of stochastic processes) (60G25)

Uses Software

• QSIMVN

Cites Work

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• Optimal prediction of level crossings in Gaussian processes and sequences
• False alarm and correct detection probabilities over a time interval for restricted classes of failure detection algorithms
• OPTIMAL PREDICTION OF CATASTROPHES IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes

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