Extremes and upcrossing intensities for P-differentiable stationary processes.

DOI10.1016/S0304-4149(99)00110-6MaRDI QIDQ1877396zbMATH OpenOpenAlexFDO

Authors J. M. P. Albin

Publication date 7 September 2004

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

Full work available at URL https://doi.org/10.1016/s0304-4149(99)00110-6

zbMATH Keywords

\(\alpha \)-stable processBelyaev's formulaextremaGaussian processlocal extremaRice's formulasojournstationary processupcrossing

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Large deviations (60F10) Stationary stochastic processes (60G10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Review text

Let \(\{\xi (t)\}\) be a stationary process differentiable in probability. It is known that under some technical conditions, which may be hard to verify, the asymptotic behaviour of \(P\{\sup _ {t\in [0,1]} \xi (t)>u\}\) for large \(u\) is related with the expected number of upcrossings \(\mu (u)\) of the level \(u\) by \(\{\xi (t)\}_ {t\in [0,1]}\). Non-upcrossing-based approaches to local extremes rely on weak convergence of the finite-dimensional distributions of a special process with a certain type of tightness; moreover, excursions above high levels are not allowed to last too long. The author provides a criterion for verifying a tightness-type condition. A new set of conditions ensure the validity of Rice's formula \(\mu (u)=\int _ 0^ {\infty } z f_ {\xi (1),\xi '(1)}(u,z)\, dz\). The results are applied to extremes of \(R^ n\)-valued Gaussian processes with strongly dependent component processes, and of totally skewed moving averages of \(\alpha \)-stable motions. Finally, the author proves Belyaev's multidimensional version of Rice's formula for outcrossing through smooth surfaces of \(R^ n\)-valued \(\alpha \)-stable processes.

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Cited in

(7)

• Extremes and crossings for differentiable stationary processes with application to Gaussian processes in \(\mathbb{R}{}^ m\) and Hilbert space
• Extremes on different grids and continuous time of stationary processes
• On extremes and streams of upcrossing.
• On the rate of convergence for extremes of mean square differentiable stationary normal processes
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• On statistics at level crossings by a stationary process
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