Slepian models for κà2-processes with dependent components with applications to envelope upcrossings

Slepian models for κà2-processes with dependent components with applications to envelope upcrossings

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Article ID: iaor1990347
Country: Israel
Volume: 26
Issue: 1
Start Page Number: 36
End Page Number: 49
Publication Date: Mar 1989
Journal: Journal of Applied Probability
Authors:
Abstract:

A Slepian model for the local behaviour near the level upcrossings of a &chi2-process with dependent Gaussian components is presented. In case of independent components, this model is shown to take on a rather simple form, thereby simplifying earlier results by Aronowich and Adler. The Slepian model is applied to the envelope of a stationary Gaussian process and used to approximate the probability of ‘empty’ envelope upcrossings, i.e. the probability that an evelope upcrossing is not followed by a level crossing in the original process.

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