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Mathematics
Asymptotic behavior of point processes of exits of a Gaussian stationary sequence beyond high levels
V. I. Piterbarg Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
We study the asymptotic behavior of point processes of exits of a Gaussian stationary sequence beyond a level tending to infinity more slowly than in the Poisson limit theorem for the number of exits. Convergence in variation of such point processes to a marked Poisson process is proved. The results of Yu. V. Prokhorov on the best approximation of the Bernoulli distribution by a mixture of Gaussian and Poisson distributions are applied. A. N. Kolmogorov proposed this problem in the early 1950s.
Key words:
Gaussian sequence, large excursions, Poisson limit theorem, convergence in variation.
Received: 16.05.2023
Citation:
V. I. Piterbarg, “Asymptotic behavior of point processes of exits of a Gaussian stationary sequence beyond high levels”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2023, no. 6, 36–42; Moscow University Mathematics Bulletin, 78:6 (2023), 291–297
Linking options:
https://www.mathnet.ru/eng/vmumm4577 https://www.mathnet.ru/eng/vmumm/y2023/i6/p36
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Abstract page: | 63 | Full-text PDF : | 40 | References: | 15 |
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