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Teoriya Veroyatnostei i ee Primeneniya, 1967, Volume 12, Issue 3, Pages 444–457
(Mi tvp727)
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This article is cited in 13 scientific papers (total in 13 papers)
On the number of intersections of a level by a Gaussian stochastic process. II
Yu. K. Belyaev Moscow
Abstract:
The main result of this paper which is a continuation of [8] is the following theorem: let $\xi_t$ be a stationary Gaussian process with $\mathbf M\xi_t=0$ and $\rho(t)$ be its correlation function. If
$$
|\rho''(0)-\rho''(t)|\le\frac c{|\ln||t|^{1+\varepsilon}},\quad|t|\le t_0,
$$
and
$$
\rho(t)=o\biggl(\frac1{\ln t}\biggr),\quad\rho'(t)=o\biggl(\frac1{\sqrt{\ln t}}\biggr),
$$
the moments of up-crossing of level $u$ form a Poisson random stream as $u\to\infty$.
This result is a generalisation of a recent Cramer's theorem [10].
In the forthcoming third part of this investigation we'll consider other questions' about intersections by non-differentiable Gaussian processes.
Received: 17.05.1966
Citation:
Yu. K. Belyaev, “On the number of intersections of a level by a Gaussian stochastic process. II”, Teor. Veroyatnost. i Primenen., 12:3 (1967), 444–457; Theory Probab. Appl., 12:3 (1967), 392–404
Linking options:
https://www.mathnet.ru/eng/tvp727 https://www.mathnet.ru/eng/tvp/v12/i3/p444
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Abstract page: | 336 | Full-text PDF : | 147 |
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