A note on the asymptotic independence of high level crossings for dependent Gaussian processes

• It is shown that the numbers of high level crossings by p dependent stationary Gaussian processes have asymptotically independent Poisson distributions if the observation interval and the height of the level increase in a coordinated way. The processes may be highly correlated, even linearly dependent.

Subject headings

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Keyword

cross-correlation function

stationary Gaussian processes

level crossings

Publication and Content Type

art (subject category)

ref (subject category)