The Use of Slepian Model Processes in Crossing and Extreme Value Theory
At the Brown Symposium on Time Series Analysis 1962, David Slepian introduced a certain type of stochastic process to describe in explicit form the behaviour of Gaussian noise near or between its zero crossings. This process, now often termed a Slepian model, has since then proved to be a probabilistic tool of wide applicability in engineering statistics. The object of this paper is to present the simple Slepian model, and to give some examples of possible extensions and of their use in different engineering problems. Mathematical details can be found in Leadbetter et al. (1983), Ch. 10.
KeywordsLocal Maximum Covariance Function Gaussian Process Zero Crossing Gaussian Field
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