IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v66y1997i2p237-252.html
   My bibliography  Save this article

Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes

Author

Listed:
  • Kratz, Marie F.
  • León, JoséR.

Abstract

We propose a new method to get the Hermite polynomial expansion of crossings of any level by a stationary Gaussian process, as well as the one of the number of maxima in an interval, under some assumptions on the spectral moments of the process.

Suggested Citation

  • Kratz, Marie F. & León, JoséR., 1997. "Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes," Stochastic Processes and their Applications, Elsevier, vol. 66(2), pages 237-252, March.
    • Handle: RePEc:eee:spapps:v:66:y:1997:i:2:p:237-252
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(96)00122-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marie F. Kratz & José R. León, 2001. "Central Limit Theorems for Level Functionals of Stationary Gaussian Processes and Fields," Journal of Theoretical Probability, Springer, vol. 14(3), pages 639-672, July.
    2. Marie Kratz & Sreekar Vadlamani, 2016. "CLT for Lipschitz-Killing curvatures of excursion sets of Gaussian random fields," Working Papers hal-01373091, HAL.
    3. Marie Kratz & Sreekar Vadlamani, 2018. "Central Limit Theorem for Lipschitz–Killing Curvatures of Excursion Sets of Gaussian Random Fields," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1729-1758, September.
    4. Zhao, Zhibiao & Wu, Wei Biao, 2007. "Asymptotic theory for curve-crossing analysis," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 862-877, July.
    5. Naitzat, Gregory & Adler, Robert J., 2017. "A central limit theorem for the Euler integral of a Gaussian random field," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 2036-2067.
    6. Nicolaescu, Liviu I., 2017. "A CLT concerning critical points of random functions on a Euclidean space," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3412-3446.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:66:y:1997:i:2:p:237-252. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.