The Annals of Probability

High Level Occupation Times for Continuous Gaussian Processes

Norman A. Marlow

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Abstract

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.

Article information

Source
Ann. Probab., Volume 1, Number 3 (1973), 388-397.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176996933

Digital Object Identifier
doi:10.1214/aop/1176996933

Mathematical Reviews number (MathSciNet)
MR362469

Zentralblatt MATH identifier
0262.60021

JSTOR
links.jstor.org

Subjects
Primary: 60G15: Gaussian processes
Secondary: 41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.) [See also 30E15]

Keywords
Gaussian processes high level occupation times asymptotic distribution

Citation

Marlow, Norman A. High Level Occupation Times for Continuous Gaussian Processes. Ann. Probab. 1 (1973), no. 3, 388--397. doi:10.1214/aop/1176996933. https://projecteuclid.org/euclid.aop/1176996933


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