Studying the winding number for stationary Gaussian processes using real variables
| Autor: | Azaïs, Jean-Marc, Dalmao, Federico, León, José R. |
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| Rok vydání: | 2020 |
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| Druh dokumentu: | Working Paper |
| Popis: | We consider the winding number of planar stationary Gaussian processes defined on the line. Under mild conditions, we obtain the asymptotic variance and the Central Limit Theorem for the winding number as the time horizon tends to infinity. In the asymptotic regime, our discrete approach is equivalent to the continuous one studied previously in the literature and our main result extends the existing ones. Our model allows for a general dependence of the coordinates of the process and non-differentiability of one of them. Furthermore, beyond our general framework, we consider as examples an approximation to the winding number of a process whose coordinates are both non-differentiable and the winding number of a process which is not exactly stationary. Comment: 29 pages |
| Databáze: | arXiv |
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