V. I. Piterbarg, S. Stamatović, “Limit theorem for high level $a$-upcrossings by $\chi$-process”, Teor. Veroyatnost. i Primenen., 2003, Volume 48, Issue 4,Pages 811

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Short Communications

Limit theorem for high level $a$-upcrossings by $\chi$-process

V. I. Piterbarg^a, S. Stamatović^b

^a M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
^b University of Montenegro

Abstract: This paper proves the Poisson limit theorem for a number of large excursions of the modulus of the Gaussian vector process with independent identically distributed increments.

Keywords: Gaussian process, large excursion, $\chi$-square process.

Received: 12.11.2002

DOI: 10.4213/tvp259