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arXiv · 1703.10192

Estimation of the average number of continuous crossings for non-stationary non-diffusion processes

Romain Azaïs·Alexandre Genadot
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Abstract

Assume that you observe trajectories of a non-diffusive non-stationary process and that you are interested in the average number of times where the process crosses some threshold (in dimension $d=1$) or hypersurface (in dimension $d\geq2$). Of course, you can actually estimate this quantity by its empirical version counting the number of observed crossings. But is there a better way? In this paper, for a wide class of piecewise smooth processes, we propose estimators of the average number of continuous crossings of an hypersurface based on Kac-Rice formulae. We revisit these formulae in the uni- and multivariate framework in order to be able to handle non-stationary processes. Our statistical method is tested on both simulated and real data.

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Romain Azaïs, Alexandre Genadot. 2017-03-29. Estimation of the average number of continuous crossings for non-stationary non-diffusion processes. https://arxiv.org/abs/1703.10192

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