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

Author

Listed:
  • Dalmao, Federico
  • León, José R.
  • Mordecki, Ernesto
  • Mourareau, Stéphane

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.

Suggested Citation

  • Dalmao, Federico & León, José R. & Mordecki, Ernesto & Mourareau, Stéphane, 2019. "Asymptotic normality of high level-large time crossings of a Gaussian process," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1349-1370.
    • Handle: RePEc:eee:spapps:v:129:y:2019:i:4:p:1349-1370
    DOI: 10.1016/j.spa.2018.05.003
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