Outcrossings of safe regions by generalized hyperbolic processes

Claudia Klüppelberg, Morten Grud Rasmussen

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Abstrakt

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.
OriginalsprogEngelsk
TidsskriftStatistics & Probability Letters
Vol/bind83
Udgave nummer10
Sider (fra-til)2197-2204
Antal sider7
ISSN0167-7152
DOI
StatusAccepteret/In press - okt. 2013
Udgivet eksterntJa

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