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Title:

Outcrossings of safe regions by generalized hyperbolic processes

Document type:
Zeitschriftenaufsatz
Author(s):
Klüppelberg, C., and Rasmussen, M.G.
Abstract:
We present a simple Gaussian mixture model in space and time with generalized hyperbolic marginals. Starting with Rice’s celebrated formula for level upcrossings and outcrossings of safe regions we investigate the consequences of the mean–variance mixture model on such quantities. We obtain explicit formulas and also present some explicit examples and limit results.
Keywords:
crossings; extremal theory; generalized hyperbolic process; reliability
Journal title:
Statistics & Probability Letters
Year:
2013
Journal volume:
83
Journal issue:
10
Pages contribution:
2197 - 2204
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1016/j.spl.2013.06.006
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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