Multiple Wiener-Itô integral expansions for level-crossing-count functionals (Q909337): Difference between revisions

This paper applies the stochastic calculus of multiple Wiener-Itô integral expansions to express the number of crossings of the mean level by a stationary (discrete- or continuous-time) Gaussian process within a fixed time interval [0,T]. The resulting expansions involve a class of hypergeometric functions, for which recursion and differential relations and some asymptotic properties are derived. The representation obtained for level-crossing counts is applied to prove a central limit theorem of \textit{J. Cuzick} [Ann. Probab. 4, 547-556 (1976; Zbl 0348.60048)] for level crossings in continuous time, using a general central limit theorem of \textit{D. Chambers} and \textit{E. Slud} [Stochastic processes Appl. 32, No.1, 93-107 (1989)] for processes expressed via multiple Wiener-Itô integral expansions in terms of a stationary Gaussian process. Analogous results are given also for discrete-time processes. This approach proves that the limiting variance is strictly positive, without additional assumptions needed by Cuzick.