1ST-PASSAGE TIME FOR A PARTICULAR STATIONARY PERIODIC GAUSSIAN PROCESS

被引：12

作者：

SHEPP, LA

SLEPIAN, D

机构：

[1] BELL TEL LABS INC, MURRAY HILL, NJ 07974 USA

[2] UNIV HAWAII, HONOLULU, HI 96822 USA

来源：

JOURNAL OF APPLIED PROBABILITY | 1976年 / 13卷 / 01期

关键词：

D O I：

10.2307/3212662

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The first-passage probability that X(t) remains above a level a throughout a time interval of length T give X(0) equals x//0 is found for a particular stationary Gaussian process X. The desired probability is explicitly found as an infinite series of integrals of a two-dimensional Gaussian density over sectors. Simpler expressions are found for the case a equals 0 and also for the unconditioned probability that X(t) be nonnegative throughout left bracket 0, T right bracket . Results of some numerical calculations are given.

引用

页码：27 / 38

页数：12

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