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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2023 Number 6, Pages 36–42 (Mi vmumm4577)

Mathematics

Asymptotic behavior of point processes of exits of a Gaussian stationary sequence beyond high levels

V. I. Piterbarg

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: We study the asymptotic behavior of point processes of exits of a Gaussian stationary sequence beyond a level tending to infinity more slowly than in the Poisson limit theorem for the number of exits. Convergence in variation of such point processes to a marked Poisson process is proved. The results of Yu. V. Prokhorov on the best approximation of the Bernoulli distribution by a mixture of Gaussian and Poisson distributions are applied. A. N. Kolmogorov proposed this problem in the early 1950s.

Key words: Gaussian sequence, large excursions, Poisson limit theorem, convergence in variation.

UDC: 519.21

Received: 16.05.2023

DOI: 10.55959/MSU0579-9368-1-64-6-5


 English version:
Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2023, 78:6, 291–297

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© Steklov Math. Inst. of RAS, 2024