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Given a gaussian process $g := \mathcal{GP}\left(\mu, \Sigma \right)$, where $\mu$ is the mean and $\Sigma$ is the covariance function, I am interested in estimating the mean value $L_m$ of the distances between up and downcrosses with a constant level $u$, i.e. these distances:

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In this plot, I use $u=0$, but ideally I would like $u$ to be generic. I suspect that this is related with Rice formula, which estimates the number of upcrosses for a given gaussian process and a given length domain, but I do not know how

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  • $\begingroup$ The Brownian motion (started at time $0$ in $0$) changes its sign infinitely often in every neighbourhood of $0$. $\endgroup$ Commented Jul 9, 2019 at 8:36

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