A Note on the Asymptotic Independence of High Level Crossings for Dependent Gaussian Processes
Lindgren, Georg
Ann. Probab., Tome 2 (1974) no. 6, p. 535-539 / Harvested from Project Euclid
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It is shown that the numbers of high level crossings by $p$ dependent stationary Gaussian processes have asymptotically independent Poisson distributions if the observation interval and the height of the level increase in a coordinated way. The processes may be highly correlated, even linearly dependent.
Publié le : 1974-06-14
Classification:  level crossings,  stationary Gaussian processes,  cross-correlation function,  60G15,  60G10,  60G17 
@article{1176996672,
     author = {Lindgren, Georg},
     title = {A Note on the Asymptotic Independence of High Level Crossings for Dependent Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 535-539},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996672}
}

Lindgren, Georg. A Note on the Asymptotic Independence of High Level Crossings for Dependent Gaussian Processes. Ann. Probab., Tome 2 (1974) no. 6, pp.  535-539. http://gdmltest.u-ga.fr/item/1176996672/