The Annals of Probability

MWI Representation of the Number of Curve-Crossings by a Differentiable Gaussian Process, with Applications

Eric V. Slud

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Abstract

Let $\mathbf{X} = (X_t, t \geq 0)$ be a stationary Gaussian process with zero mean, continuous spectral distribution and twice-differentiable correlation function. An explicit representation is given for the number $N_\psi(T)$ of crossings of a $C^1$ curve $\psi$ by $\mathbf{X}$ on the bounded interval $\lbrack 0, T\rbrack$, in a multiple Wiener-Ito integral expansion. This continues work of the author in which the result was given for $\psi \equiv 0$. The representation is applied to prove new central and noncentral limit theorems for numbers of crossings of constant levels, and some consequences for asymptotic variances are given in mixed-spectrum settings.

Article information

Source
Ann. Probab., Volume 22, Number 3 (1994), 1355-1380.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176988606

Digital Object Identifier
doi:10.1214/aop/1176988606

Mathematical Reviews number (MathSciNet)
MR1303648

Zentralblatt MATH identifier
0819.60036

JSTOR
links.jstor.org

Subjects
Primary: 60G15: Gaussian processes
Secondary: 60F05: Central limit and other weak theorems 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx]

Keywords
Asymptotic variance central and noncentral limit theorems Hermite polynomials mixed spectrum multiple Wiener-Ito integral Rice's formula spectral representation

Citation

Slud, Eric V. MWI Representation of the Number of Curve-Crossings by a Differentiable Gaussian Process, with Applications. Ann. Probab. 22 (1994), no. 3, 1355--1380. doi:10.1214/aop/1176988606. https://projecteuclid.org/euclid.aop/1176988606


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