J.M.P. Albin. On extremal theory for differentiable stationary stochastic processes. Technical report, University of Lund, 1990.  Home/Search   Document Not in Database   Summary   Related Articles

....as solutions of certain random recurrences (which includes the geometric tails of some of our queueing examples) is given by Goldie [26] C34 Rice s formula. Formalizations of the local version of the heurstic from Rice s formula P (M t b) tae b as b 1; t fixed are given by Albin [2] C41 Stein s method for extremes of stationary sequences. Barbour et al. [13] study the Poisson approximation for the sojourn time of a stationary discrete time process above a high level in several examples: moving averages with non negative weights (C5) Gaussian sequnces with non negative ....

....r n infty the number of pairs (i; j) with jX j Gamma X i j r n has asymptotically Poisson distribution. Presumably with less rapidly decreasing tails there would be clumping. I23 Hitting small balls. Gaussian processes hitting small sets (more general than balls) are discussed by Albin [3, 2]. I28 Rough 2 processes. Albin [3] gives further results. A statistical application is given in Chan [18] I29 Smooth stationary processes. Breitung [16] gives further results on estimating the outcrossing rate. J29 General References. The new book of Adler [1] is a very readable account of ....

J.M.P. Albin. On extremal theory for differentiable stationary stochastic processes. Technical report, University of Lund, 1990.

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