Level crossings and local time for regularized Gaussian processes
Berzin, Corinne ; León, José R. ; Ortega, Joaquín
HAL, hal-00319151 / Harvested from HAL
Let $\{X_{t}, t in [0, 1]\}$ be a centred stationary Gaussian process defined on (Ω, A , P) with covariance function satisfying $r(t) \sim 1 -C \vert t \vert ^{2 \alpha}$, $0 < \alpha <1$, as $t \to 0$. Define the regularized process $X^{\varepsilon} = \varphi_{\varepsilon}* X$ and $Y^{\varepsilon} = X^{\varepsilon}/\sigma_{\varepsilon}$, where $\sigma_{\varepsilon}^{2} = var X_{t}^{\varepsilon}$, $\varphi_{\varepsilon}$ is a kernel which approaches the Dirac delta function as $\varepsilon \to 0$ and * denotes the convolution. We study the convergence of $$ Z_{\varepsilon}(f)= \varepsilon^{-a(\alpha)} \int_{-\infty}^{\infty} [N^{Y^{\varepsilon}}(x) / c(\varepsilon) - L_{X}(x)] f(x) dx $$ as $\varepsilon \to 0$, where $N^{V}(x)$ and $L_{V}(x)$ denote, respectively, the number of crossings and the local time at level x for the process V in [0, 1] and $$ c(\varepsilon) = (2 var (\ddot{X}_{t}^{\varepsilon})/(\pi var (X_{t}^{\varepsilon}))^{\frac{1}{2}}. $$ The limit depends on the value of $\alpha$.
Publié le : 1998-07-04
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{hal-00319151,
     author = {Berzin, Corinne and Le\'on, Jos\'e R. and Ortega, Joaqu\'\i n},
     title = {Level crossings and local time for regularized Gaussian processes},
     journal = {HAL},
     volume = {1998},
     number = {0},
     year = {1998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00319151}
}
Berzin, Corinne; León, José R.; Ortega, Joaquín. Level crossings and local time for regularized Gaussian processes. HAL, Tome 1998 (1998) no. 0, . http://gdmltest.u-ga.fr/item/hal-00319151/