Slepian noise approach for gaussian and Laplace moving average processes View Full Text


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Article Info

DATE

2015-10-07

AUTHORS

K. Podgórski, I. Rychlik, J. Wallin

ABSTRACT

Slepian models are derived for a stochastic process observed at level crossings of a moving average driven by a gaussian or Laplace noise. In particular, a Slepian model for the noise – the Slepian noise – is developed. For Laplace moving average process a method of sampling from the Slepian noise is also obtained by a Gibbs sampler. This facilitates comparison of behavior at crossing of a level between a gaussian process and a non-gaussian one and allows to study a random processes sampled at crossings of a non-gaussian moving average process. In a numerical study based on the method it is observed that the behavior of a non-gaussian moving average process at high level crossings is fundamentally different from that for the gaussian case, which is in line with some recent theoretical results on the subject. More... »

PAGES

665-695

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10687-015-0227-z

DOI

http://dx.doi.org/10.1007/s10687-015-0227-z

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1050364861


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