The behaviour of a non-differentiable stationary Gaussian process after a level crossing
A model process is obtained for the behaviour of a non-differentiable but continuous stationary Gaussian process after a level crossing. It is shown that the sampled process conditioned on a crossing of a fixed level in Slepian's sense, converges weakly towards the model process, when the sample distance decreases to zero. Further it is noticed that there is no difference between conditioning on a vertical window and on a horizontal window in this case.
Year of publication: |
1977
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Authors: | De Maré, Jacques |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 6.1977, 1, p. 77-86
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Publisher: |
Elsevier |
Saved in:
Online Resource
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