Central limit theorem for wave-functionals of Gaussian processes
Let \(X(t)\) be a stationary continuously differentiable Gaussian process with bounded density function and let \(0<T_1<T_2<\cdots\) be the times of the \(u\)-upcrossings of the fixed level \(u\) by \(X\). Consider a continuous stationary Gaussian process \(Y(t)\) in \(\mathbb{R}^d\). Let \(F\) be a Riemann integrable function in every ball, and for any \(\delta>0\) there exists \(C<\infty\) such that \(|F(x)|\leq C\exp(\delta\|x\|^2)\) for all \(x\in\mathbb{R}^d\). Then a finite-dimensional wave-functional \(W_F\) is defined by \(W_F(T)= \sum_{T_i\leq T} F(Y(T_i))\). The authors obtain the central limit theorem \[ {1\over\sqrt T} (W_F(T)- EW_F(T))\to N(0,\sigma^2),\quad T\to\infty, \] where \(\sigma^2\) is some positive constant.
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