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The minimum of a stationary Markov process superimposed on a U-shaped trend

Published online by Cambridge University Press:  14 July 2016

H.E. Daniels
H.E. Daniels*
Affiliation:
University of Birmingham
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Extract

1. This paper was motivated by some questions of Barnett and Lewis (1967) concerning extreme winter temperatures. The temperature during the winter can be hopefully regarded as generated by a stationary Gaussian process superimposed on a locally U-shaped trend. One is interested in statistical properties of the minimum of sample paths from such a process, and of their excursions below a given level. Equivalently one can consider paths from a stationary process crossing a curved boundary of the same form. Problems of this type are discussed by Cramer and Leadbetter (1967), extensively in the trend-free case and in less detail when a trend is present, following the method initiated by Rice (1945). While results on moments are easy to obtain, explicit results for the actual probability distributions are not usually available. However, in the important case when the level of values of interest is far below the mean, the asymptotic independence of up-crossing times makes it possible to derive simple approximate distributions. (See Cramer and Leadbetter (1967) page 256, Keilson (1966).)

Type
Research Papers
Information
Journal of Applied Probability , Volume 6 , Issue 2 , August 1969 , pp. 399 - 408
Copyright
Copyright © Sheffield: Applied Probability Trust 

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References

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