Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences

Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences

Asymptotic behavior of the point process of high and medium values of a Gaussian stationary process with discrete time is considered. An approximation by a Poisson cluster point process is given for the point process.

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Veröffentlicht in:arXiv.org 2023-09
1. Verfasser: Piterbarg, Vladimir I
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic properties
Gaussian process
Sequences
Stationary processes
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Zusammenfassung:Asymptotic behavior of the point process of high and medium values of a Gaussian stationary process with discrete time is considered. An approximation by a Poisson cluster point process is given for the point process.
ISSN:2331-8422