Persistence probabilities in centered, stationary, Gaussian processes in discrete time
Persistence probabilities in centered, stationary, Gaussian processes in discrete time
复制标题
离散时间内中心平稳高斯过程的持续概率
DOI：
10.1007/s13226-016-0183-6
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发表时间：
2016
影响因子：
0.7
通讯作者：
Manjunath Krishnapur
中科院分区：
文献类型：
--
作者：
M. Krishna;Manjunath Krishnapur
离散时间内平稳高斯过程的持续概率下界是在过程的谱测量的各种条件下获得的。给出的例子表明持久概率可以比指数衰减得更快。结果表明，如果谱测度不是奇异的，则持久概率中的指数的增长速度不能快于二次方。提供了一个实现此下限的示例（来自数字证据）。
Lower bounds for persistence probabilities of stationary Gaussian processes in discrete time are obtained under various conditions on the spectral measure of the process. Examples are given to show that the persistence probability can decay faster than exponentially. It is shown that if the spectral measure is not singular, then the exponent in the persistence probability cannot grow faster than quadratically. An example that appears (from numerical evidence) to achieve this lower bound is presented.