Computer-Aided Simulations of Gaussian Processes and Related Asymptotic Properties

机译：高斯过程和相关渐近性质的计算机辅助模拟

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A parallel algorithm is implemented to simulate sample paths of stationary normal processes possessing a Butterworth-type covariance, in order to investigate asymptotic properties of the first passage time probability densities for time-varying boundaries. After a self-contained outline of the simulation procedure, computational results are included to show that for large times and for large boundaries the first passage time probability density through an asymptotically periodic boundary is exponentially distributed to an excellent degree of approximation.

机译：为了研究时变边界的第一次通过时间概率密度的渐近性质，采用并行算法来模拟具有Butterworth型协方差的平稳常态过程的样本路径。在模拟过程的独立概述之后，包括了计算结果，以表明对于较大时间和较大边界，通过渐近周期性边界的第一通过时间概率密度以极好的近似度呈指数分布。

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《8th International Workshop on Computer Aided Systems Theory, 8th, Feb 19-23, 2001, Las Palmas de Gran Canaria, Spain》|2001年|p.67-78|共12页
会议地点 Las Palmas de Gran Canaria(ES)
作者
Elvira Di Nardo; Amelia G. Nobile; Enrica Pirozzi; Luigi M. Ricciardi;
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作者单位

Dipartimento di Matematica, Contrada Macchia Romana, Potenza, Italia;

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会议组织
原文格式 PDF
正文语种 eng
中图分类自动化技术、计算机技术;
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机译：高斯过程的渐近性质

Computer-Aided Simulations of Gaussian Processes and Related Asymptotic Properties

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