On the probability of conjunctions of stationary Gaussian processes

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji and Kamil Tabiś

Statistics & Probability Letters, 2014, vol. 88, issue C, 141-148

Abstract: Let {Xi(t),t≥0},1≤i≤n be independent centered stationary Gaussian processes with unit variance and almost surely continuous sample paths. For given positive constants u,T, define the set of conjunctions C[0,T],u≔{t∈[0,T]:min1≤i≤nXi(t)≥u}. Motivated by some applications in brain mapping and digital communication systems, we obtain exact asymptotic expansion of P{C[0,T],u≠ϕ}, as u→∞. Moreover, we establish the Berman sojourn limit theorem for the random process {min1≤i≤nXi(t),t≥0} and derive the tail asymptotics of the supremum of each order statistics process.

Keywords: Stationary Gaussian processes; Order statistics processes; Conjunction; Extremes; Berman sojourn limit theorem; Generalized Pickands constant (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2014.02.004

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