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Note on the estimation of crossing intensity for Laplace moving average

Thomas Galtier (Institutionen för matematiska vetenskaper)
Extremes (1386-1999). Vol. 14 (2011), 2, p. 157-166.
[Artikel, refereegranskad vetenskaplig]

In this note upcrossing intensity of a level u by a non-Gaussian process-the Laplace Moving Average (LMA)-is estimated by means of a saddle point approximation of Rice's formula. A LMA-process is defined by power spectral density, skewness and kurtosis parameters. The method is illustrated by measurements of sea surface elevation and stresses in a vessel.

Nyckelord: Rice's formula, Non-Gaussian process, Non-Gaussian seas, Skewness, Kurtosis, Saddle point approximation, Laplace moving average, Mean, upcrossing intensity, level-crossings



Denna post skapades 2011-05-24.
CPL Pubid: 140988

 

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