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June, 1974 A Note on the Asymptotic Independence of High Level Crossings for Dependent Gaussian Processes
Georg Lindgren
Ann. Probab. 2(3): 535-539 (June, 1974). DOI: 10.1214/aop/1176996672

Abstract

It is shown that the numbers of high level crossings by $p$ dependent stationary Gaussian processes have asymptotically independent Poisson distributions if the observation interval and the height of the level increase in a coordinated way. The processes may be highly correlated, even linearly dependent.

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Georg Lindgren. "A Note on the Asymptotic Independence of High Level Crossings for Dependent Gaussian Processes." Ann. Probab. 2 (3) 535 - 539, June, 1974. https://doi.org/10.1214/aop/1176996672

Information

Published: June, 1974
First available in Project Euclid: 19 April 2007

zbMATH: 0288.60038
MathSciNet: MR372977
Digital Object Identifier: 10.1214/aop/1176996672

Subjects:
Primary: 60G15
Secondary: 60G10 , 60G17

Keywords: cross-correlation function , level crossings , Stationary Gaussian processes

Rights: Copyright © 1974 Institute of Mathematical Statistics

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Vol.2 • No. 3 • June, 1974
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