On limit distributions of first crossing points of Gaussian sequences
Let {Xk, k[epsilon]Z} be a stationary Gaussian sequence with EX1 - 0, EX2k = 1 and EX0Xk = rk. Define [tau]x = inf{k: Xk >- [beta]k} the first crossing point of the Gaussian sequence with the function - [beta]t ([beta] > 0). We consider limit distributions of [tau]x as [beta]-->0, depending on the correlation function rk. We generalize the results for crossing points [tau]x = inf{k: Xk >[beta][finite part integral](k)} with [finite part integral](- t)[approximate, equals]t[gamma]L(t) for t-->[infinity], where [gamma] > 0 and L(t) varies slowly.
Year of publication: |
1977
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Authors: | Hüsler, J. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 6.1977, 1, p. 65-75
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Publisher: |
Elsevier |
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