Maximum and High Level Excursion of a Gaussian Process with Stationary Increments
Berman, Simeon M.
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1247-1266 / Harvested from Project Euclid
Let $X(t), t \geqq 0$, be a centered separable Gaussian process with stationary increments. Put $\sigma^2(t) = EX^2(t)$, and suppose that $\sigma(0) = 0$. Let $Y(t)$ be the normalized process $X(t)/\sigma(t)$, and $B$ an arbitrary bounded closed subinterval of the positive real axis. Under general conditions on $\sigma$ we find (1) an explicit asymptotic formula for $P\{\max_B Y > u\}$ for $u \rightarrow \infty$ in terms of $\sigma$ and various functions derived from it, and (2) the limiting conditional distribution of the time spent above the level $u$ (for $u \rightarrow \infty$) given that the time spent is positive. This limiting distribution is a scale mixture of the corresponding distribution previously obtained under comparable conditions in the case of the stationary Gaussian process.
Publié le : 1972-08-14
Classification: 
@article{1177692476,
     author = {Berman, Simeon M.},
     title = {Maximum and High Level Excursion of a Gaussian Process with Stationary Increments},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1247-1266},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692476}
}
Berman, Simeon M. Maximum and High Level Excursion of a Gaussian Process with Stationary Increments. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1247-1266. http://gdmltest.u-ga.fr/item/1177692476/