Multiple Wiener-Itô integral expansions for level-crossing-count functionals

DOI10.1007/BF01312215MaRDI QIDQ909337zbMATH OpenFDO

Authors Eric V. Slud

Publication date 1991

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01312215

zbMATH Keywords

asymptotic variancecentral limit theoremdiagram theoremhypergeometric functionslevel-crossingmultiple Wiener-Ito integral expansionsstationary Gaussian process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) General second-order stochastic processes (60G12) Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Review text

This paper applies the stochastic calculus of multiple Wiener-Itô integral expansions to express the number of crossings of the mean level by a stationary (discrete- or continuous-time) Gaussian process within a fixed time interval [0,T]. The resulting expansions involve a class of hypergeometric functions, for which recursion and differential relations and some asymptotic properties are derived. The representation obtained for level-crossing counts is applied to prove a central limit theorem of \textit{J. Cuzick} [Ann. Probab. 4, 547-556 (1976; Zbl 0348.60048)] for level crossings in continuous time, using a general central limit theorem of \textit{D. Chambers} and \textit{E. Slud} [Stochastic processes Appl. 32, No.1, 93-107 (1989)] for processes expressed via multiple Wiener-Itô integral expansions in terms of a stationary Gaussian process. Analogous results are given also for discrete-time processes. This approach proves that the limiting variance is strictly positive, without additional assumptions needed by Cuzick.

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Cited in

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• On autocorrelation estimation in mixed-spectrum Gaussian processes
• MWI representation of the number of curve-crossings by a differentiable Gaussian process, with applications
• Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes
• Variance of the number of zeroes of shift-invariant Gaussian analytic functions
• The winding of stationary Gaussian processes
• Central limit theorem for Lipschitz-Killing curvatures of excursion sets of Gaussian random fields
• Diophantine Gaussian excursions and random walks
• Variance linearity for real Gaussian zeros
• A central limit theorem for Lipschitz-Killing curvatures of Gaussian excursions
• A CLT concerning critical points of random functions on a Euclidean space
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