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Simple trigonometric models for narrow-band stationary processes

Published online by Cambridge University Press:  14 July 2016

A. M. Hasofer
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Abstract

Over a finite interval, a Gaussian stationary process can be approximated by a finite trigonometric sum, and the error introduced by the approximation can be exactly bounded, as far as the distribution of the upper tail of the maximum is concerned. A simple case is exhibited, where a narrow band process is well approximated by means of a two-term trigonometric representation.

Keywords

GAUSSIAN PROCESSDISTRIBUTION OF MAXIMUMNARROW-BAND PROCESSESFOURIER SERIES
Type
Part 6 — Stochastic Processes
Information
Journal of Applied Probability , Volume 19 , Issue A , 1982 , pp. 333 - 343
Copyright
Copyright © 1982 Applied Probability Trust 

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