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CROSSREG — A Technique for First Passage and Wave Density Analysis

Published online by Cambridge University Press:  27 July 2009

Igor Rychlik  and
Georg Lindgren
Igor Rychlik
Affiliation:
Department of Mathematical Statistics, Lund University, Box 118, S-221 00, Lund, Sweden
Georg Lindgren
Affiliation:
Department of Mathematical Statistics, Lund University, Box 118, S-221 00, Lund, Sweden
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Abstract

The density of the first passage time in a nonstationary Gaussian process with random mean function can be approximated with arbitrary accuracy from a regression-type expansion. CROSSREG is a package of FORTRAN subroutines that perform intelligent transformations and numerical integrations to produce high-accuracy approximations with a minimum of computer time. The basic routines, collected in the unit ONEREG, give the density of the crossing time of a general bound. An additional set of routines make up the unit TWOREG, which also gives the bivariate density of the crossing time and the value of an accompanying process at the time of the crossing. These routines can be used to find the wavelength and amplitude density in any stationary Gaussian process. ONEREG and TWOREG are special cases of a routine MREG, which is the main routine in CROSSREG.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 7 , Issue 1 , January 1993 , pp. 125 - 148
Copyright
Copyright © Cambridge University Press 1993

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