MWI representation of the number of curve-crossings by a differentiable Gaussian process, with applications (Q1345603): Difference between revisions
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Latest revision as of 21:46, 19 March 2024
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English | MWI representation of the number of curve-crossings by a differentiable Gaussian process, with applications |
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MWI representation of the number of curve-crossings by a differentiable Gaussian process, with applications (English)
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15 August 1995
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Let \(X_ t\), \(t \geq 0\), be a stationary Gaussian process with zero mean and 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 \(X_ t\) on the bounded interval \([0,T]\) in the form of a multiple Wiener-Itô integral expansion. The representation is applied to prove new central and non- central limit theorems for numbers of crossings of constant level.
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Rice's formula
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multiple Wiener integral
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central and noncentral limit theorems
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