| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10525785 | Statistics & Probability Letters | 2013 | 8 Pages |
Abstract
We present a simple Gaussian mixture model in space and time with generalized hyperbolic marginals. Starting with Rice's celebrated formula for level upcrossings and outcrossings of safe regions we investigate the consequences of the mean-variance mixture model on such quantities. We obtain explicit formulas and also present some explicit examples and limit results.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Claudia Klüppelberg, Morten Grud Rasmussen,