Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: crossings and extremes.
Kratz, Marie ; Leon, José
HAL, hal-00179412 / Harvested from HAL
Text on HAL
We propose a new method to get the Hermite polynomial expansion of crossings of any level by a stationary Gaussian process, as well as the one of the number of maxima in an interval, under some assumptions on the spectral moments of the process.
Publié le : 1997-03-05
Classification:  Hermite polynomial expansion,  Gaussian processes,  crossings,  extremes,  Hermite polynomial expansion.,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] 
@article{hal-00179412,
     author = {Kratz, Marie and Leon, Jos\'e},
     title = {Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: crossings and extremes.},
     journal = {HAL},
     volume = {1997},
     number = {0},
     year = {1997},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00179412}
}

Kratz, Marie; Leon, José. Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: crossings and extremes.. HAL, Tome 1997 (1997) no. 0, . http://gdmltest.u-ga.fr/item/hal-00179412/