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A note on the asymptotic independence of high level crossings for dependent Gaussian processes

Lindgren, Georg LU orcid (1974) In Annals of Probability 2(3). p.535-539
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
cross-correlation function, stationary Gaussian processes, level crossings
in
Annals of Probability
volume
2
issue
3
pages
535 - 539
publisher
Institute of Mathematical Statistics
ISSN
0091-1798
DOI
10.1214/aop/1176996672
language
English
LU publication?
yes
id
2f9fd7e7-a040-4f72-8f63-9a8642d2fa3b (old id 1273140)
date added to LUP
2016-04-01 15:37:56
date last changed
2025-04-04 14:49:25
@article{2f9fd7e7-a040-4f72-8f63-9a8642d2fa3b,
  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.}},
  author       = {{Lindgren, Georg}},
  issn         = {{0091-1798}},
  keywords     = {{cross-correlation function; stationary Gaussian processes; level crossings}},
  language     = {{eng}},
  number       = {{3}},
  pages        = {{535--539}},
  publisher    = {{Institute of Mathematical Statistics}},
  series       = {{Annals of Probability}},
  title        = {{A note on the asymptotic independence of high level crossings for dependent Gaussian processes}},
  url          = {{http://dx.doi.org/10.1214/aop/1176996672}},
  doi          = {{10.1214/aop/1176996672}},
  volume       = {{2}},
  year         = {{1974}},
}