Large Excursions of Gaussian Processes
نویسندگان
چکیده
منابع مشابه
Some Properties of Large Excursions of a Stationary Gaussian Process
The present work investigates two properties of level crossings of a stationary Gaussian process X(t) with autocorrelation function RX(τ). We show firstly that if RX(τ) admits finite second and fourth derivatives at the origin, the length of up-excursions above a large negative level −γ is asymptotically exponential as −γ → −∞. Secondly, assuming that RX(τ) admits a finite second derivative at ...
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1959
ISSN: 0003-4851
DOI: 10.1214/aoms/1177706105