Level crossings and other level functionals of stationary Gaussian processes

被引:40
|
作者
Krat, Marie F. [1 ]
机构
[1] Univ Paris 01, Univ Paris 05, ESSEC, SAMOS MATISSE,UMR 8174,MAP5,UMR 8145, Paris, France
来源
PROBABILITY SURVEYS | 2006年 / 3卷
关键词
(up) crossings; (non) central limit theorems; Gaussian processes/fields; Hermite polynomials; level curve; level functionals; local time; (factorial) moments; normal comparison method; number of maxima; Poisson convergence; rate of convergence; Rice method; sojourn; Wiener chaos;
D O I
10.1214/154957806000000087
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
This paper presents a synthesis on the mathematical work done on level crossings of stationary Gaussian processes, with some extensions. The main results [(factorial) moments, representation into the Wiener Chaos, asymptotic results, rate of convergence, local time and number of crossings] are described, as well as the different approaches [normal comparison method, Rice method, Stein-Chen method, a general m-dependent method] used to obtain them; these methods are also very useful in the general context of Gaussian fields. Finally some extensions [time occupation functionals, number of maxima in an interval, process indexed by a bidimensional set] are proposed, illustrating the generality of the methods. A large inventory of papers and books on the subject ends the survey.
引用
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页码:230 / 288
页数:59
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