Persistence of Gaussian stationary processes: a spectral perspective
Probability
2020-08-05 v2 Functional Analysis
Abstract
We study the persistence probability of a centered stationary Gaussian process on or , that is, its probability to remain positive for a long time. We describe the delicate interplay between this probability and the behavior of the spectral measure of the process near zero and infinity.
Keywords
Cite
@article{arxiv.1709.00204,
title = {Persistence of Gaussian stationary processes: a spectral perspective},
author = {Naomi Feldheim and Ohad Feldheim and Shahaf Nitzan},
journal= {arXiv preprint arXiv:1709.00204},
year = {2020}
}
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31 pages