Duration Distribution of the Conjunction of Two Independent F Processes
Moh'd Taleb Alodat, Mohammad Al‐Rawwash, M. A. Jebrini · Journal of Applied Probability · 2010
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.