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Fundamentalnaya i Prikladnaya Matematika, 2018, Volume 22, Issue 3, Pages 119–125
(Mi fpm1807)
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On the shape of a high excursion of a Gaussian stationary process
E. V. Kremena Lomonosov Moscow State University, Moscow, Russia
Abstract:
We investigate the shape of an excursion above a high level $u$ by a stationary Gaussian process. The shape depends on the conditioned mean and covariances of the underlying process. The paths vary slightly around a deterministic trend. The probability of such event can be determined asymptotically exactly for $u\rightarrow\infty$.
Citation:
E. V. Kremena, “On the shape of a high excursion of a Gaussian stationary process”, Fundam. Prikl. Mat., 22:3 (2018), 119–125; J. Math. Sci., 254:4 (2021), 532–536
Linking options:
https://www.mathnet.ru/eng/fpm1807 https://www.mathnet.ru/eng/fpm/v22/i3/p119
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Statistics & downloads: |
Abstract page: | 210 | Full-text PDF : | 108 | References: | 29 |
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