On the distribution of functionals of stationary Gaussian processes

Kurt Hornik

Statistics & Probability Letters, 1993, vol. 18, issue 5, 389-395

Abstract: Let (X(t),0 [less-than-or-equals, slant] t [less-than-or-equals, slant] 1) be a zero mean, continuous-path stationary Gaussian process with autocovariance function [rho]X(s) = 1 - ? s , where 0[less-than-or-equals, slant]?[less-than-or-equals, slant]2. We investigate the joint distribution of the maximum and the minimum of X on [0, [tau]] and the distribution of the range of X on [0, [tau]] for 0

Date: 1993
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