Asymptotic normality of high level-large time crossings of a Gaussian process

Federico Dalmao, José R. León, Ernesto Mordecki and Stéphane Mourareau

Stochastic Processes and their Applications, 2019, vol. 129, issue 4, 1349-1370

Abstract: We prove the asymptotic normality of the standardized number of crossings of a centered stationary mixing Gaussian process when both the level and the time horizon go to infinity in such a way that the expected number of crossings also goes to infinity.

Keywords: High-level crossings; Rice formula; Mixing process; Dependent CLT (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:4:p:1349-1370

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DOI: 10.1016/j.spa.2018.05.003

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