Sojourns of Stationary Gaussian Processes over a Random Interval

Abstract

We investigate asymptotics of the tail distribution of sojourn time $${\int }_0^T\mathbb{I}(X(t)>u)dt,$$ as $u\to \infty$, where $X$ is a centered stationary Gaussian process and $T$ is an independent of $X$ nonnegative random variable. The heaviness of the tail distribution of $T$ impacts the form of the asymptotics, leading to four scenarios: the case of integrable $T$, the case of regularly varying $T$ with index $\lambda =1$ and index $\lambda \in (0,1)$ and the case of slowly varying tail distribution of $T$. The derived findings are illustrated by the analysis of the class of fractional Ornstein-Uhlenbeck processes.

References in corpus (1)

• Extremes of Vector-Valued Gaussian Processes