Some Properties of Large Excursions of a Stationary Gaussian Process

Abstract

The present work investigates two properties of level crossings of a stationary Gaussian process X(t) with autocorrelation function R X (τ ). We show firstly that if R X (τ ) admits finite second and fourth derivatives at the origin, the length of up-excursions above a large negative level −γ is asymptotically exponential as −γ → −∞. Secondly, assuming that R X (τ ) admits a finite second derivative at the origin and some defined properties, we derive the mean number of crossings as well as the length of successive excursions above two subsequent large levels. The asymptotic results are shown to be effective even for moderate values of crossing level. An application of the developed results is proposed to derive the probability of successive excursions above adjacent levels during a time window.