Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes (Q1382511): Difference between revisions

The Hermite polynomial expansion (or, equivalently, Itô-Wiener chaos expansion) for certain non-smooth functionals of a stationary Gaussian process is treated. The expansions for crossings of any level by the stationary Gaussian process, as well as the one for the number of maxima in an interval are obtained. The assumptions are formulated in terms of the spectral moments of the process.