Discrete and continuous expectation formulae for level-crossings, upcrossings and excursions of ellipsoidal processes

Minoru Tanaka and Kunio Shimizu

Statistics & Probability Letters, 2001, vol. 52, issue 3, 225-232

Abstract: The paper provides the expected level-crossing count, the expected level-crossing rate, the expected number of upcrossings and the expected length of excursions above a fixed level in a strictly stationary ellipsoidal process whose finite dimensional distributions are scale mixtures of normal distributions.

Keywords: Arcsine; formula; Gaussian; process; Level-crossing; Pearson; Type; VII; density; Rice's; formula; Scale; mixtures; of; normals; Upcrossing (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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