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arxiv: math/0609682 · v1 · pith:PRQSGWEQnew · submitted 2006-09-25 · 🧮 math.PR

On the second moment of the number of crossings by a stationary Gaussian process

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keywords conditioncrossingsgemannumbercurvedeltafinitegaussian
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Cram\'{e}r and Leadbetter introduced in 1967 the sufficient condition \[\frac{r''(s)-r''(0)}{s}\in L^1([0,\delta],dx),\qquad \delta>0,\] to have a finite variance of the number of zeros of a centered stationary Gaussian process with twice differentiable covariance function $r$. This condition is known as the Geman condition, since Geman proved in 1972 that it was also a necessary condition. Up to now no such criterion was known for counts of crossings of a level other than the mean. This paper shows that the Geman condition is still sufficient and necessary to have a finite variance of the number of any fixed level crossings. For the generalization to the number of a curve crossings, a condition on the curve has to be added to the Geman condition.

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