Motivated by their relevance for numerous applications, a simulation procedure of stationary normal processes is implemented to estimate first passage time densities through pairs of smooth boundaries, a constant and a periodic one. The results of some simulations are shown and conclusions are drawn on the effects of the periodic components of covariances and boundaries on qualitative and quantitative features of first passage time densities.
First passage time densities evaluation for simulated Gaussian processes / E., DI NARDO; Pirozzi, Enrica; Ricciardi, LUIGI MARIA; Rinaldi, Silvana. - STAMPA. - (2000), pp. 301-306.
First passage time densities evaluation for simulated Gaussian processes
PIROZZI, ENRICA;RICCIARDI, LUIGI MARIA;RINALDI, SILVANA
2000
Abstract
Motivated by their relevance for numerous applications, a simulation procedure of stationary normal processes is implemented to estimate first passage time densities through pairs of smooth boundaries, a constant and a periodic one. The results of some simulations are shown and conclusions are drawn on the effects of the periodic components of covariances and boundaries on qualitative and quantitative features of first passage time densities.File in questo prodotto:
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