Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes (Q1382511)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes |
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Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes (English)
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29 March 1998
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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.
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stationary Gaussian process
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Hermite expansion
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Wiener chaos
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Hermite polynomial
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