Model processes in nonlinear prediction with application to detection and alarm
A level crossing predictor is a predictor process $Y(t)$, possibly multivariate, which can be used to predict whether a specified process $X(t)$ will cross a predetermined level or not. A natural criterion on how good a predictor is, can be the probability that a crossing is detected a sufficient time ahead, and the number of times the predictor makes a false alarm. If $X$ is Gaussian and the proc