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Extremes and upcrossing intensities for P-differentiable stationary processes

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  • Albin, J. M. P.

Abstract

Given a stationary differentiable in probability process we express the asymptotic behaviour of the tail P{supt[set membership, variant][0,1] [xi](t)>u} for large u through a certain functional of the conditional law ([xi]'(1)[xi](1)>u). Under technical conditions this functional becomes the upcrossing intensity [mu](u) of the level u by [xi](t). However, by not making explicit use of [mu](u) we avoid the often hard-to-verify technical conditions required in the calculus of crossings and to relate upcrossings to extremes. We provide a useful criterion for verifying a standard condition of tightness-type used in the literature on extremes. This criterion is of independent value. Although we do not use crossings theory, our approach has some impact on this subject. Thus we complement existing results due to, e.g. Leadbetter (Ann. Math. Statist. 37 (1983) 260-267) and Marcus (Ann. Probab. 5 (1977) 52-71) by providing a new and useful set of technical conditions which ensure the validity of Rice's formula . As examples of application we study extremes of -valued Gaussian processes with strongly dependent component processes, and of totally skewed moving averages of [alpha]-stable motions. Further we prove Belayev's multi-dimensional version of Rice's formula for outcrossings through smooth surfaces of -valued [alpha]-stable processes.

Suggested Citation

  • Albin, J. M. P., 2000. "Extremes and upcrossing intensities for P-differentiable stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 199-234, June.
    • Handle: RePEc:eee:spapps:v:87:y:2000:i:2:p:199-234
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    References listed on IDEAS

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    1. Samorodnitsky, Gennady, 1988. "Extrema of skewed stable processes," Stochastic Processes and their Applications, Elsevier, vol. 30(1), pages 17-39, November.
    2. Albin, J. M. P., 1992. "Extremes and crossings for differentiable stationary processes with application to Gaussian processes in m and Hilbert space," Stochastic Processes and their Applications, Elsevier, vol. 42(1), pages 119-147, August.
    3. Marcus, Michael B., 1989. "Some bounds for the expected number of level crossings of symmetric harmonizable p-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 33(2), pages 217-231, December.
    4. Albin, J. M. P., 1993. "Extremes of totally skewed stable motion," Statistics & Probability Letters, Elsevier, vol. 16(3), pages 219-224, February.
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    Cited by:

    1. Albin, J. M. P., 2001. "On extremes and streams of upcrossings," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 271-300, August.

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