LENGTH OF STATIONARY GAUSSIAN EXCURSIONS

Article Type

Research Article

Publication Title

Proceedings of the American Mathematical Society

Abstract

Given that a stationary Gaussian process is above a high threshold, the length of time it spends before going below that threshold is studied. The asymptotic order is determined by the smoothness of the sample paths, which in turn is a function of the tails of the spectral measure. Two disjoint regimes are studied – one in which the second spectral moment is finite and the other in which the tails of the spectral measure are regularly varying and the second moment is infinite.

First Page

1339

Last Page

1348

DOI

https://10.1090/proc/16245

Publication Date

3-1-2023

Comments

Open Access, Bronze

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