Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences

Vladimir I. Piterbarg

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arXiv · 2309.00925

Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences

Vladimir I. Piterbarg

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Abstract

Asymptotic behavior of the point process of high and medium values of a Gaussian stationary process with discrete time is considered. An approximation by a Poisson cluster point process is given for the point process.

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Vladimir I. Piterbarg. 2023-09-02. Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences. https://arxiv.org/abs/2309.00925

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