High Level Occupation Times for Continuous Gaussian Processes
Marlow, Norman A.
Ann. Probab., Tome 1 (1973) no. 5, p. 388-397 / Harvested from Project Euclid
Let $\{y(\tau), 0 \leqq \tau \leqq 1\}$ be a sample continuous Gaussian process, and let $T\lbrack y, \alpha \rbrack$ denote the time that $y(\cdot)$ spends above level $\alpha:$ $$T\lbrack y, \alpha \rbrack = \int^1_0 V(y(\tau) - \alpha) d\tau,$$ where $V(x) = 0$ or 1 according as $x \leqq 0$ or $x > 0.$ In this paper it is proved that, as $\alpha \rightarrow \infty,$ $$P\{T\lbrack y, \alpha \rbrack > \beta\} = \exp \{-(\alpha^2/2)\mathbf{k}_\beta(1 + o(1))\}$$ where $k_\beta$ is a particular functional of the covariance function of the process.
Publié le : 1973-06-14
Classification:  Gaussian processes,  high level occupation times,  asymptotic distribution,  60G15,  41A60
@article{1176996933,
     author = {Marlow, Norman A.},
     title = {High Level Occupation Times for Continuous Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {1},
     number = {5},
     year = {1973},
     pages = { 388-397},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996933}
}
Marlow, Norman A. High Level Occupation Times for Continuous Gaussian Processes. Ann. Probab., Tome 1 (1973) no. 5, pp.  388-397. http://gdmltest.u-ga.fr/item/1176996933/