Optimal Prediction of Catastrophes with Applications to Gaussian Processes
Mare, Jacques De
Ann. Probab., Tome 8 (1980) no. 6, p. 841-850 / Harvested from Project Euclid
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An alarm system is optimal if it detects catastrophes with a certain high probability and simultaneously gives a minimum number of false alarms. In a general context an optimal alarm system is derived and then the method is applied to Gaussian processes.
Publié le : 1980-08-14
Classification:  Prediction,  Palm measure,  Gaussian processes,  horizontal window conditioning,  model processes,  level crossings,  62M20,  60G35,  60G15 
@article{1176994670,
     author = {Mare, Jacques De},
     title = {Optimal Prediction of Catastrophes with Applications to Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {8},
     number = {6},
     year = {1980},
     pages = { 841-850},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994670}
}

Mare, Jacques De. Optimal Prediction of Catastrophes with Applications to Gaussian Processes. Ann. Probab., Tome 8 (1980) no. 6, pp.  841-850. http://gdmltest.u-ga.fr/item/1176994670/