The Annals of Probability

On the excursion random measure of stationary processes

Tailen Hsing and M. R. Leadbetter

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Abstract

The excursion random measure $\zeta$ of a stationary process is defined on sets $E \subset (-\infty, \infty) \times (0, \infty)$, as the time which the process (suitably normalized) spends in the set E . Particular cases thus include a multitude of features (including sojourn times) related to high levels. It is therefore not surprising that a single limit theorem for $\zeta$ at high levels contains a wide variety of useful extremal and high level exceedance results for the stationary process itself.

The theory given for the excursion random measure demonstrates, under very general conditions, its asymptotic infinite divisibility with certain stability and independence of increments properties leading to its asymptotic distribution (Theorem 4.1). The results are illustrated by a number of examples including stable and Gaussian processes.

Article information

Source
Ann. Probab., Volume 26, Number 2 (1998), 710-742.

Dates
First available in Project Euclid: 31 May 2002

Permanent link to this document
https://projecteuclid.org/euclid.aop/1022855648

Digital Object Identifier
doi:10.1214/aop/1022855648

Mathematical Reviews number (MathSciNet)
MR1626519

Zentralblatt MATH identifier
0935.60013

Subjects
Primary: 60F05: Central limit and other weak theorems 60G10: Stationary processes

Keywords
Extremes infinite divisibility sojourns weak convergence

Citation

Hsing, Tailen; Leadbetter, M. R. On the excursion random measure of stationary processes. Ann. Probab. 26 (1998), no. 2, 710--742. doi:10.1214/aop/1022855648. https://projecteuclid.org/euclid.aop/1022855648


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