Asymptotic crossing rates for stationary Gaussian vector processes

Karl Breitung

Stochastic Processes and their Applications, 1988, vol. 29, issue 2, 195-207

Abstract: For stationary differentiable Gaussian vector processes the expected number of crossings through a hypersurface is given by a surface integral. In general, this is difficult to calculate. In this paper asymptotic approximations for these surface integrals are derived.

Keywords: asymptotic; analysis; extremal; theory; Gaussian; processes; crossings (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (9)

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