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arXiv · 1706.04839

Asymptotic normality of high level-large time crossings of a Gaussian process

Federico Dalmao·José Rafael León·Ernesto Mordecki·Stéphane Mourareau
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Abstract

We prove the asymptotic normality of the standardized number of crossings of a centered stationary mixing Gaussian process when both the level and the time horizon go to infinity in such a way that the expected number of crossings also goes to infinity.

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Federico Dalmao, José Rafael León, Ernesto Mordecki, Stéphane Mourareau. 2017-06-15. Asymptotic normality of high level-large time crossings of a Gaussian process. https://arxiv.org/abs/1706.04839

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