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

TL;DR

This paper develops estimators for the average number of threshold crossings in non-stationary, non-diffusive processes using Kac-Rice formulae, improving upon simple empirical counting methods.

Contribution

It introduces a novel estimation approach based on Kac-Rice formulae for non-stationary processes, applicable to both univariate and multivariate cases.

Findings

Estimators perform well on simulated data.

Method successfully applied to real data.

Provides a theoretical foundation for crossing number estimation.

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.