Model Processes in Nonlinear Prediction with Application to Detection and Alarm
Lindgren, Georg
Ann. Probab., Tome 8 (1980) no. 6, p. 775-792 / Harvested from Project Euclid
A level crossing predictor is a predictor process $Y(t)$, possibly multivariate, which can be used to predict whether a specified process $X(t)$ will cross a predetermined level or not. A natural criterion on how good a predictor is, can be the probability that a crossing is detected a sufficient time ahead, and the number of times the predictor makes a false alarm. If $X$ is Gaussian and the process $Y$ is designed to detect only level crossings, one is led to consider a multivariate predictor process $Y(t)$ such that a level crossing is predicted for $X(t)$ if $Y(t)$ enters some nonlinear region in $R^p$. In the present paper we develop the probabilistic methods for evaluation of such an alarm system. The basic tool is a model for the behavior of $X(t)$ near the points where $Y(t)$ enters the alarm region. This model includes the joint distribution of location and direction of $Y(t)$ at the crossing points.
Publié le : 1980-08-14
Classification:  Nonlinear prediction,  level crossings,  Gaussian processes,  point processes,  60G25,  60G15,  60G35
@article{1176994665,
     author = {Lindgren, Georg},
     title = {Model Processes in Nonlinear Prediction with Application to Detection and Alarm},
     journal = {Ann. Probab.},
     volume = {8},
     number = {6},
     year = {1980},
     pages = { 775-792},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994665}
}
Lindgren, Georg. Model Processes in Nonlinear Prediction with Application to Detection and Alarm. Ann. Probab., Tome 8 (1980) no. 6, pp.  775-792. http://gdmltest.u-ga.fr/item/1176994665/