The Annals of Probability

A Representation Theorem on Stationary Gaussian Processes and Some Local Properties

Ruben Klein

Full-text: Open access

Abstract

Let $X(t, \omega, a \leqq t \leqq b, \omega \in \Omega$ be a real continuous stationary Gaussian process with mean 0 and covariance $R$. We prove that there exist analytic functions $f_n$ defined on $\lbrack a, b\rbrack$ and independent random variables $X_nN(0, 1), n = 0,1,2, \cdots$, such that the series $\sum^\infty_{n=0} f_n(t)X_n$ converges uniformly to $X(t)$ with probability 1. Among other applications of this representation theorem, we show that if the second spectral moment is infinite and $\int^\delta_0 (R(0) - R(t))^{-\frac{1}{2}} dt < \infty$ for some $0 < \delta \leqq b - a$, then for any given $u\in\mathbb{R}, P\{\omega\mid X_\omega^{-1}(u)$ is infinite$\} > 0$.

Article information

Source
Ann. Probab., Volume 4, Number 5 (1976), 844-849.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176995988

Digital Object Identifier
doi:10.1214/aop/1176995988

Mathematical Reviews number (MathSciNet)
MR415749

Zentralblatt MATH identifier
0344.60028

JSTOR
links.jstor.org

Subjects
Primary: 60G10: Stationary processes
Secondary: 60G15: Gaussian processes 60G17: Sample path properties

Keywords
Stationary Gaussian processes representation level crossings

Citation

Klein, Ruben. A Representation Theorem on Stationary Gaussian Processes and Some Local Properties. Ann. Probab. 4 (1976), no. 5, 844--849. doi:10.1214/aop/1176995988. https://projecteuclid.org/euclid.aop/1176995988


Export citation