Crossings of Second-order Response Processes Subjected to LMA Loadings
Artikel i vetenskaplig tidskrift, 2010

The focus of this paper is on the estimation of the crossing intensities of responses for second-order dynamical systems, subjected to stationary, non-Gaussian external loadings. A new model for random loadings—the Laplace driven moving average (LMA)—is used. The model is non-Gaussian, strictly stationary, can model any spectrum, and has additional flexibility to model the skewness and kurtosis of the marginal distribution. The system response can be expressed as a second-order combination of the LMA processes. A numerical technique for estimating the level crossing intensities for such processes is developed. The proposed method is a hybrid method which combines the saddle-point approximation with limited Monte Carlo simulations. The performance and the accuracy of the proposed method are illustrated through a set of numerical examples.


Thomas Galtier

Chalmers, Matematiska vetenskaper

Göteborgs universitet

Sayan Gupta

Indian Institute of Technology, Madras

Igor Rychlik

Chalmers, Matematiska vetenskaper, Matematisk statistik

Göteborgs universitet

Journal of Probability and Statistics

1687-952X (ISSN)

Vol. 2010 article ID 752452 [22 pages]- 752452


Sannolikhetsteori och statistik



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