王晓明,王雪标.强相关平稳Gauss过程高水平穿过和最大值的弱收敛[J].数学研究及应用,1998,18(3):439~444 |
强相关平稳Gauss过程高水平穿过和最大值的弱收敛 |
Weak Convergence of High Level Crossings and Maxima for Stationary Gaussian Processes with Strong Dependence |
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DOI:10.3770/j.issn:1000-341X.1998.03.022 |
中文关键词: 强相关 高水平穿过 cox过程 |
英文关键词:strong dependence high level crossings cox processes. |
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中文摘要: |
设{ξ(t),t≥0}是强相关不可微Gaus过程,即其相关函数R(t)满足:R(t)logt→γ>0(t→∞)和R(t)=1-C|t|α+o(|t|α)(t→0),且0<α≤2,C>0.本文建立了{ξ(t),t≥0}对一个和多个高水平的ε-上穿点过程的极限定理,并给出了最大值的极限分布和局部ε-最大值的联合渐近分布. |
英文摘要: |
Let {ξ(t),t≥0} be a stationary Gaussian process with covariance function R(t) statisfying R(t) logt→ γ>0 as t→∞ and R(t)=1-c|t|αα+o(|t| α) as t→0 where 0<α≤2 and c>0 . In this paper, we establish the limit theorems of the point process of ε-upcrossings of one or more high levels by {ξ(t),t≥0} , and we obtain the limiting distributions of maxima and the joint asymptotic distributions of several local ε-maximas. |
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