Zero-crossing statistics for non-Markovian time series

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Abstract

In applications spanning from image analysis and speech recognition to energy dissipation in turbulence and time-to failure of fatigued materials, researchers and engineers want to calculate how often a stochastic observable crosses a specific level, such as zero. At first glance this problem looks simple, but it is in fact theoretically very challenging, and therefore few exact results exist. One exception is the celebrated Rice formula that gives the mean number of zero crossings in a fixed time interval of a zero-mean Gaussian stationary process. In this study we use the so-called independent interval approximation to go beyond Rice's result and derive analytic expressions for all higher-order zero-crossing cumulants and moments. Our results agree well with simulations for the non-Markovian autoregressive model.

Detaljer

Författare
Enheter & grupper
Externa organisationer
  • Umeå University
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Beräkningsmatematik
Originalspråkengelska
Artikelnummer032114
TidskriftPhysical Review E
Volym97
Utgivningsnummer3
StatusPublished - 2018 mar 14
PublikationskategoriForskning
Peer review utfördJa