Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2023, Number 6, Pages 36–42
DOI: https://doi.org/10.55959/MSU0579-9368-1-64-6-5
(Mi vmumm4577)
 

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
References:
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
English version:
Moscow University Mathematics Bulletin, 2023, Volume 78, Issue 6, Pages 291–297
DOI: https://doi.org/10.3103/S0027132223060050
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Pit23}
\by V.~I.~Piterbarg
\paper Asymptotic behavior of point processes of exits of a Gaussian stationary sequence beyond high levels
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2023
\issue 6
\pages 36--42
\mathnet{http://mi.mathnet.ru/vmumm4577}
\crossref{https://doi.org/10.55959/MSU0579-9368-1-64-6-5}
\elib{https://elibrary.ru/item.asp?id=58422754}
\transl
\jour Moscow University Mathematics Bulletin
\yr 2023
\vol 78
\issue 6
\pages 291--297
\crossref{https://doi.org/10.3103/S0027132223060050}
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