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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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