A note on the asymptotic independence of high level crossings for dependent Gaussian processes
(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:
https://lup.lub.lu.se/record/1273140
- author
- Lindgren, Georg LU
- organization
- publishing date
- 1974
- 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
- 2019-03-08 03:04:23
@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}}, }