A Representation Theorem on Stationary Gaussian Processes and Some Local Properties
Klein, Ruben
Ann. Probab., Tome 4 (1976) no. 6, p. 844-849 / Harvested from Project Euclid
Let $X(t, \omega, a \leqq t \leqq b, \omega \in \Omega$ be a real continuous stationary Gaussian process with mean 0 and covariance $R$. We prove that there exist analytic functions $f_n$ defined on $\lbrack a, b\rbrack$ and independent random variables $X_nN(0, 1), n = 0,1,2, \cdots$, such that the series $\sum^\infty_{n=0} f_n(t)X_n$ converges uniformly to $X(t)$ with probability 1. Among other applications of this representation theorem, we show that if the second spectral moment is infinite and $\int^\delta_0 (R(0) - R(t))^{-\frac{1}{2}} dt < \infty$ for some $0 < \delta \leqq b - a$, then for any given $u\in\mathbb{R}, P\{\omega\mid X_\omega^{-1}(u)$ is infinite$\} > 0$.
Publié le : 1976-10-14
Classification:  Stationary Gaussian processes,  representation,  level crossings,  60G10,  60G15,  60G17
@article{1176995988,
     author = {Klein, Ruben},
     title = {A Representation Theorem on Stationary Gaussian Processes and Some Local Properties},
     journal = {Ann. Probab.},
     volume = {4},
     number = {6},
     year = {1976},
     pages = { 844-849},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995988}
}
Klein, Ruben. A Representation Theorem on Stationary Gaussian Processes and Some Local Properties. Ann. Probab., Tome 4 (1976) no. 6, pp.  844-849. http://gdmltest.u-ga.fr/item/1176995988/