Weak convergence of high level crossings and maxima for one or more Gaussian processes
(1975) In Annals of Probability 3(6). p.961-978- Abstract
- Weak convergence of the multivariate point process of upcrossings of several high levels by a stationary Gaussian process is established. The limit is a certain multivariate Poisson process. This result is then used to determine the joint asymptotic distribution of heights and locations of the highest local maxima over an increasing interval. The results are generalized to upcrossings and local maxima of two dependent Gaussian processes. To prevent nuisance jitter from hiding the overall structure of crossings and maxima the above results are phrased in terms of varepsilon-crossings and varepsilon-maxima, but it is shown that under suitable regularity conditions the results also hold for ordinary upcrossings and maxima.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1273144
- author
- Lindgren, Georg LU ; de Maré, Jacques and Rootzén, Holger LU
- organization
- publishing date
- 1975
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Stationary Gaussian processes, upcrossings, local maxima, dependent processes, weak convergence
- in
- Annals of Probability
- volume
- 3
- issue
- 6
- pages
- 961 - 978
- publisher
- Institute of Mathematical Statistics
- ISSN
- 0091-1798
- DOI
- 10.1214/aop/1176996222
- language
- English
- LU publication?
- yes
- id
- 04cc320e-5ee6-4ad0-9191-41ba25faf300 (old id 1273144)
- alternative location
- http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?view=body&id=pdf_1&handle=euclid.aop/1176996222
- date added to LUP
- 2016-04-04 09:34:40
- date last changed
- 2019-03-08 03:04:18
@article{04cc320e-5ee6-4ad0-9191-41ba25faf300, abstract = {{Weak convergence of the multivariate point process of upcrossings of several high levels by a stationary Gaussian process is established. The limit is a certain multivariate Poisson process. This result is then used to determine the joint asymptotic distribution of heights and locations of the highest local maxima over an increasing interval. The results are generalized to upcrossings and local maxima of two dependent Gaussian processes. To prevent nuisance jitter from hiding the overall structure of crossings and maxima the above results are phrased in terms of varepsilon-crossings and varepsilon-maxima, but it is shown that under suitable regularity conditions the results also hold for ordinary upcrossings and maxima.}}, author = {{Lindgren, Georg and de Maré, Jacques and Rootzén, Holger}}, issn = {{0091-1798}}, keywords = {{Stationary Gaussian processes; upcrossings; local maxima; dependent processes; weak convergence}}, language = {{eng}}, number = {{6}}, pages = {{961--978}}, publisher = {{Institute of Mathematical Statistics}}, series = {{Annals of Probability}}, title = {{Weak convergence of high level crossings and maxima for one or more Gaussian processes}}, url = {{http://dx.doi.org/10.1214/aop/1176996222}}, doi = {{10.1214/aop/1176996222}}, volume = {{3}}, year = {{1975}}, }