Discrete and continuous expectation formulae for level-crossings, upcrossings and excursions of ellipsoidal processes
AbstractThe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 52 (2001)
Issue (Month): 3 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Vitali Alexeev & Alex Maynard, 2010.
"Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks,"
1001, University of Guelph, Department of Economics and Finance.
- Alexeev, Vitali & Maynard, Alex, 2012. "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3322-3344.
- Shimizu, Kunio & Tanaka, Minoru, 2003. "Expected number of level-crossings for a strictly stationary ellipsoidal process," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 305-310, September.
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