Note on the estimation of crossing intensity for Laplace moving average

DOI10.1007/s10687-010-0116-4zbMath1329.60149OpenAlexW2097003144MaRDI QIDQ906600

Thomas Galtier

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-010-0116-4

zbMATH Keywords

kurtosisskewnessLaplace moving averagemean upcrossing intensitynon-Gaussian processnon-Gaussian seasRice's formulasaddle point approximation

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) General second-order stochastic processes (60G12) Sample path properties (60G17)

Related Items (6)

Modeling process asymmetries with Laplace moving average ⋮ Sample Path Asymmetries in Non-Gaussian Random Processes ⋮ Crossings of second-order response processes subjected to LMA loadings ⋮ Slepian noise approach for Gaussian and Laplace moving average processes ⋮ Estimation for Stochastic Models Driven by Laplace Motion ⋮ Rice formula for processes with jumps and applications

Cites Work

• Unnamed Item
• A general Rice formula, Palm measures, and horizontal-window conditioning for random fields
• Extremes and related properties of random sequences and processes
• Asymptotic crossing rates for stationary Gaussian vector processes
• Level crossings of a stochastic process with absolutely continuous sample paths
• Reflections on Rice's Formulae for Level Crossings - History, Extensions and Use
• On the Number of Solutions of Systems of Random Equations
• Saddlepoint Approximations in Statistics

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