1 research outputs found
Some Properties of Large Excursions of a Stationary Gaussian Process
The present work investigates two properties of level crossings of a
stationary Gaussian process with autocorrelation function .
We show firstly that if admits finite second and fourth derivatives
at the origin, the length of up-excursions above a large negative level
is asymptotically exponential as . Secondly,
assuming that admits a finite second derivative at the origin and
some defined properties, we derive the mean number of crossings as well as the
length of successive excursions above two subsequent large levels. The
asymptotic results are shown to be effective even for moderate values of
crossing level. An application of the developed results is proposed to derive
the probability of successive excursions above adjacent levels during a time
window