Constrained stochastic simulation -- generation of time series around some specific event in a normal process

DOI10.1007/s10687-006-7968-7zbMath1117.62090OpenAlexW2129724801MaRDI QIDQ881410

Wim Bierbooms

Publication date: 29 May 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-006-7968-7

zbMATH Keywords

time seriesconstrained stochastic simulationextreme conditions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Stochastic processes (60G99)

Cites Work

• The statistical distribution of the maxima of a random function
• Slepian Models and Regression Approximations in Crossing and Extreme Value Theory
• Some Properties of a Normal Process Near a Local Maximum
• Mathematical Analysis of Random Noise
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