Level crossings and other level functionals of stationary Gaussian processes

DOI10.1214/154957806000000087zbMATH Open1189.60079arXivmath/0612577OpenAlexW2122871148MaRDI QIDQ980757FDOQ980757

Marie Kratz

Publication date: 29 June 2010

Published in: Probability Surveys (Search for Journal in Brave)

Abstract: This paper presents a synthesis on the mathematical work done on level crossings of stationary Gaussian processes, with some extensions. The main results [(factorial) moments, representation into the Wiener Chaos, asymptotic results, rate of convergence, local time and number of crossings] are described, as well as the different approaches [normal comparison method, Rice method, Stein-Chen method, a general $m$-dependent method] used to obtain them; these methods are also very useful in the general context of Gaussian fields. Finally some extensions [time occupation functionals, number of maxima in an interval, process indexed by a bidimensional set] are proposed, illustrating the generality of the methods. A large inventory of papers and books on the subject ends the survey.

Full work available at URL: https://arxiv.org/abs/math/0612577

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zbMATH Keywords

rate of convergenceHermite polynomialslocal timeWiener chaoslevel curvesojournPoisson convergenceRice method(factorial) moments(non) central limit theorems(up) crossingsGaussian processes/fieldslevel functionalsnormal comparison methodnumber of maxima

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) General second-order stochastic processes (60G12)

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