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Duration Distribution of the Conjunction of Two Independent F Processes
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper we obtain an approximation for the duration distribution of the excursion set generated by the minimum of two independent F random processes above a high threshold u. Moreover, we obtain a closed-form approximation for the mean duration of the conjunction of these two F processes. As an illustration, we conduct a simulation study to compare the performances of the approximated distribution and the exact distribution.
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- Research Article
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- Copyright © Applied Probability Trust 2010
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