Outcrossings of safe regions by generalized hyperbolic processes

Claudia Klüppelberg; Morten Grud Rasmussen

doi:10.1016/j.spl.2013.06.006

Outcrossings of safe regions by generalized hyperbolic processes

Claudia Klüppelberg, Morten Grud Rasmussen

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

1 Citationer (Scopus)

Abstract

We present a simple Gaussian mixture model in space and time with generalized hyperbolic marginals. Starting with Rice’s celebrated formula for level upcrossings and outcrossings of safe regions we investigate the consequences of the mean-variance mixture model on such quantities. We obtain explicit formulas and also present some explicit examples and limit results.

Originalsprog	Engelsk
Tidsskrift	Statistics & Probability Letters
Vol/bind	83
Udgave nummer	10
Sider (fra-til)	2197-2204
Antal sider	7
ISSN	0167-7152
DOI	https://doi.org/10.1016/j.spl.2013.06.006
Status	Accepteret/In press - okt. 2013
Udgivet eksternt	Ja

Adgang til dokumentet

10.1016/j.spl.2013.06.006

Citationsformater

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abstract = "We present a simple Gaussian mixture model in space and time with generalized hyperbolic marginals. Starting with Rice{\textquoteright}s celebrated formula for level upcrossings and outcrossings of safe regions we investigate the consequences of the mean-variance mixture model on such quantities. We obtain explicit formulas and also present some explicit examples and limit results.",

author = "Claudia Kl{\"u}ppelberg and Rasmussen, {Morten Grud}",

year = "2013",

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AB - We present a simple Gaussian mixture model in space and time with generalized hyperbolic marginals. Starting with Rice’s celebrated formula for level upcrossings and outcrossings of safe regions we investigate the consequences of the mean-variance mixture model on such quantities. We obtain explicit formulas and also present some explicit examples and limit results.

U2 - 10.1016/j.spl.2013.06.006

DO - 10.1016/j.spl.2013.06.006

M3 - Journal article

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VL - 83

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EP - 2204

JO - Statistics & Probability Letters

JF - Statistics & Probability Letters

IS - 10

ER -