Slepian noise approach for Gaussian and Laplace moving average processes

DOI10.1007/s10687-015-0227-zzbMath1329.60097OpenAlexW2145389543MaRDI QIDQ897844

Igor Rychlik, Jonas Wallin, Krzysztof Podgórski

Publication date: 8 December 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-015-0227-z

zbMATH Keywords

level crossingsRice formulageneralized Laplace distributiongeneralized inverse Gaussian distributionextreme episodesGaussian moving average processLaplace moving average processSlepian noisetilted Rayleigh distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (4)

On the finiteness of the moments of the measure of level sets of random fields ⋮ Empirically Driven Orthonormal Bases for Functional Data Analysis ⋮ The relation between wave asymmetry and particle orbits analysed by Slepian models ⋮ Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes

Uses Software

• R
• DLMF
• AS 241

Cites Work

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