Sojourn in an elliptical domain

Murad S. Taqqu

Stochastic Processes and their Applications, 1986, vol. 21, issue 2, 319-326

Abstract: We extend results of Maejima (1984) concerning the time that a two-dimensional stationary Gaussian process spends in an elliptical domain. Here: (a) the process may be cross-correlated while the domain is elliptical; (b) the cross-correlations do not vanish asymptotically; (c) a functional limit theorem is obtained.

Keywords: self-similar; process; long-range; dependence; multiple; Wiener; integrals; two-dimensional; Gaussian; processes; weak; convergence (search for similar items in EconPapers)
Date: 1986
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