Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences

2023/09/02 by Piterbarg, Vladimir I.
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2309.00925

Abstract

Asymptotic behavior of the point process of high and medium values of a Gaussian stationary process with discrete time is considered. An approximation by a Poisson cluster point process is given for the point process.

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