论文标题

有效计算固定高斯工艺的关节游览时间

Effective computations of joint excursion times for stationary Gaussian processes

论文作者

Lindgren, Georg, Podgorski, Krzysztof, Rychlik, Igor

论文摘要

这项工作是为了普及计算涉及扩展和多元大米公式的高斯过程中的游览时间分布的方法。该方法用于高维整合程序的数值实现,在早期的工作中,表明计算比基于水稻扩张的计算更有效,因此更精确。 旅行时间的联合分布与水平交叉数量的分布有关,该问题可以通过稻米系列的扩展来攻击,这是根据交叉数量的矩进行的。另一个攻击点是对物理系统持久性进行深入研究的“独立间隔近似”。它将连续的交叉间隔的长度视为统计独立的。更新类型参数导致表达式通过其拉普拉斯变换提供近似间隔分布。 但是,在典型情况下,独立性无效。即使它导致持久性指数的可接受结果,对近似误差的严格评估也不可用。此外,我们表明IIA方法无法提供正确定义的概率分布,因此该方法仅限于持久性研究。 本文提出了一种替代方法,既是更通用,更准确又相对未知的方法。它基于一个概率密度的精确表达式,用于两个连续的偏移长度。数值例程果皮使用科学计算的最新进展计算密度,并可以通过简单的MATLAB接口轻松访问。该结果解决了一般固定可区分的高斯过程的两步偏差依赖的问题。这项工作还提供了一些分析结果,可以解释实施方法的有效性。

This work is to popularize the method of computing the distribution of the excursion times for a Gaussian process that involves extended and multivariate Rice's formula. The approach was used in numerical implementations of the high-dimensional integration routine and in earlier work it was shown that the computations are more effective and thus more precise than those based on Rice expansions. The joint distribution of excursion times is related to the distribution of the number of level crossings, a problem that can be attacked via the Rice series expansion, based on the moments of the number of crossings. Another point of attack is the "Independent Interval Approximation" intensively studied for the persistence of physical systems. It treats the lengths of successive crossing intervals as statistically independent. A renewal type argument leads to an expression that provides the approximate interval distribution via its Laplace transform. However, independence is not valid in typical situations. Even if it leads to acceptable results for the persistency exponent, rigorous assessment of the approximation error is not available. Moreover, we show that the IIA approach cannot deliver properly defined probability distributions and thus the method is limited to persistence studies. This paper presents an alternative approach that is both more general, more accurate, and relatively unknown. It is based on exact expressions for the probability density for one and for two successive excursion lengths. The numerical routine RIND computes the densities using recent advances in scientific computing and is easily accessible via a simple Matlab interface. The result solves the problem of two-step excursion dependence for a general stationary differentiable Gaussian process. The work offers also some analytical results that explain the effectiveness of the implemented method.

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