English

Level crossings and other level functionals of stationary Gaussian processes

Probability 2007-05-23 v1

Abstract

This paper presents a synthesis on the mathematical work done on level crossings of stationary Gaussian processes, with some extensions. The main results [(factorial) moments, representation into the Wiener Chaos, asymptotic results, rate of convergence, local time and number of crossings] are described, as well as the different approaches [normal comparison method, Rice method, Stein-Chen method, a general mm-dependent method] used to obtain them; these methods are also very useful in the general context of Gaussian fields. Finally some extensions [time occupation functionals, number of maxima in an interval, process indexed by a bidimensional set] are proposed, illustrating the generality of the methods. A large inventory of papers and books on the subject ends the survey.

Keywords

Cite

@article{arxiv.math/0612577,
  title  = {Level crossings and other level functionals of stationary Gaussian processes},
  author = {Marie F. Kratz},
  journal= {arXiv preprint arXiv:math/0612577},
  year   = {2007}
}

Comments

Published at http://dx.doi.org/10.1214/154957806000000087 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-07-22T17:48:07.265Z