Author:
Alodat M. T.,Al-Rawwash M.,Jebrini M. A.
Abstract
In this paper we obtain an approximation for the duration distribution of the excursion set generated by the minimum of two independent F random processes above a high threshold u. Moreover, we obtain a closed-form approximation for the mean duration of the conjunction of these two F processes. As an illustration, we conduct a simulation study to compare the performances of the approximated distribution and the exact distribution.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
6 articles.
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