On rate of approximation of critical excursion probability for random process by moments method
Fundamentalʹnaâ i prikladnaâ matematika, Tome 8 (2002) no. 1, pp. 187-194
Citer cet article
Voir la notice de l'article provenant de la source Math-Net.Ru
The rate of approximation of the number of high level crossings distribution for a Gaussian process with various spectra have been investigated by Monte Carlo method. Methods to simulate the paths of these processes have been used. Approximations have been obtained with the aid of Rice method. The result is presented as a table.
[1] Kramer G., Lidbetter M. R., Statsionarnye sluchainye protsessy, Mir, M., 1969
[2] Azais Jean-Marc, Wschebor Mario, A formula to compute the distribution of the maximum of a random process, Publication du Laboratoire de Statistique et Probabilites 07–95
[3] Piterbarg V. I., “Metod Raisa dlya gaussovskikh sluchainykh polei”, Fundam. i prikl. mat., 2:1 (1996), 187–204 | MR | Zbl
[4] Demidovich B. P., Maron I. A., Osnovy vychislitelnoi matematiki, ed. B. P. Demidovich, Izd-vo fiz.-mat. literatury, M., 1996 | MR