ON THE EVALUATION OF 1ST PASSAGE TIME DENSITIES FOR GAUSSIAN-PROCESSES

被引：20

作者：

RICCIARDI, LM

SATO, S

机构：

[1] Univ of Naples, Naples, Italy, Univ of Naples, Naples, Italy

来源：

SIGNAL PROCESSING | 1986年 / 11卷 / 04期

关键词：

D O I：

10.1016/0165-1684(86)90076-9

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

A study of first- and second-order approximations to the first passage time conditional probability density function of a stationary Gaussian process with differentiable sample paths is provided both theoretically and numerically. An evaluation of mode and peak value of this function is also given and asymptotic expressions are derived for the functions W//n(t//1,t//2,. . . ,t//n vertical x//0) (n greater than equivalent to 1) appearing in the series expansion of the first passage time probability density function.

引用

页码：339 / 357

页数：19