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arXiv · 1709.00204

Persistence of Gaussian stationary processes: a spectral perspective

Naomi Feldheim·Ohad Feldheim·Shahaf Nitzan
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Abstract

We study the persistence probability of a centered stationary Gaussian process on $\mathbb{Z}$ or $\mathbb{R}$, 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.

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Naomi Feldheim, Ohad Feldheim, Shahaf Nitzan. 2017-09-01. Persistence of Gaussian stationary processes: a spectral perspective. https://arxiv.org/abs/1709.00204

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