کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
802519 | 1467882 | 2008 | 13 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Joint distribution of peaks and valleys in a stochastic process Joint distribution of peaks and valleys in a stochastic process](/preview/png/802519.png)
General expressions and numerical results are presented pertaining to the occurrence of two local extrema of a stochastic process at prescribed time values. The extrema may be either peaks or valleys and the process may be either stationary or nonstationary. General formulas are presented for the rates of occurrence, the joint and conditional probability distributions, and the moments of the extreme values. These formulas are relatively simple multiple-integral expressions, but the integrands involve the joint probability density function for six random variables. The procedures are then applied for the special case of a stationary mean-zero Gaussian process for which the calculations are greatly simplified. Numerical results for three different spectral density functions demonstrate that conditioning on either only the existence or both the existence and the value of one peak can have a very significant effect on both the rate of occurrence and the probability distribution of a second peak.
Journal: Probabilistic Engineering Mechanics - Volume 23, Issues 2–3, April–July 2008, Pages 254–266