Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences

DOI10.1016/0304-4149(94)00036-SMaRDI QIDQ1346161zbMATH OpenOpenAlexFDO

Authors J. Hüsler, Marie Kratz

Publication date 21 August 1995

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)00036-s

zbMATH Keywords

nonstationary Gaussian processstationary Gaussian processStein-Chen method

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Approximations to statistical distributions (nonasymptotic) (62E17)

Review text

Under appropriate conditions, the number of times that a stationary Gaussian process exceeds a fixed level has an approximately Poisson distribution. \textit{R. L. Smith} [ibid. 30, No. 2, 317-327 (1988; Zbl 0661.60033)] used the Stein-Chen method to quantify the error in this approximation. Here, the authors give a rather good general bound for the error, now considering a nonstationary Gaussian process satisfying Berman's condition, and a varying boundary. The proof is based on the Stein-Chen method and on the techniques of the first author [Z. Wahrscheinlichkeitstheorie Verw. Geb. 63, 257-270 (1983; Zbl 0494.60042)].

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Cites work

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Cited in

(9)

• Compound Poisson approximation of the number of exceedances in Gaussian sequences
• Poisson approximation of the number of exceedances of a discrete-time \(\chi ^ 2\)-process
• Compound Poisson limit theorems for high-level exceedances of some non-stationary processes
• Remarks on compound Poisson approximation of Gaussian random sequences
• scientific article; zbMATH DE number 4104089 (Why is no real title available?)
• On the convergence of the number of exceedances of nonstationary normal sequences
• On The Properties Of Random Entire Functions
• scientific article; zbMATH DE number 224178 (Why is no real title available?)
• Poisson approximation using the Stein-Chen method and coupling: Number of exceedances of Gaussian random variables

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