Winding number for stationary Gaussian processes using real variables

DOI10.1214/22-AIHP1278MaRDI QIDQ6147642zbMATH OpenOpenAlexFDO

Authors Jean-Marc Azaïs, Federico Dalmao, José R. León

Publication date 16 January 2024

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.10333

zbMATH Keywords

Gaussian processstationary processfourth moment theoremwinding numberWiener chaos expansions

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10)

Abstract: We consider the winding number of planar stationary Gaussian processes defined on the line. Under mild conditions, we obtain the asymptotic variance and the Central Limit Theorem for the winding number as the time horizon tends to infinity. In the asymptotic regime, our discrete approach is equivalent to the continuous one studied previously in the literature and our main result extends the existing ones. Our model allows for a general dependence of the coordinates of the process and non-differentiability of one of them. Furthermore, beyond our general framework, we consider as examples an approximation to the winding number of a process whose coordinates are both non-differentiable and the winding number of a process which is not exactly stationary.

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