Asymptotic Poisson character of extremes in non-stationary Gaussian models (Q2488433): Difference between revisions

A Gaussian (nonstationary) process \(X_t\) is considered with the covariance \(r(s,t)\) and \(r_{11}=\partial^2 r(s,t)/\partial s \partial t\). Let \(S(t)=\int_0^t\sqrt{r_{11}(s,s)}\,ds\), \(c_u=(2\pi)^{-1}\exp(-u^2/2)\), \(U_u(B)\), \(B\subset \mathbb R\), be the point process of upcrossings of level \(u\) by \(X\). Then under suitable regularity conditions (including \(r(s,t)\log| S(s)-S(t)| \to 0\) as \(| S(s)-S(t)| \to\infty\)) the point process \(R_u(B)=U_u(S^{-1}(c_u^{-1}B))\) converges weakly on \((0,+\infty)\) to a standard Poisson process as \(u\to+\infty\).