Abstract
We establish lower and upper bounds for the small ball probability of a centered Gaussian process(X(t)) t∈[0,1] N under Hölder-type norms as well as upper bounds for some more general functionals. This extends recently established results for the uniform norm. In addition, our proof of the lower bound is considerably simpler. In the special caseN=1 we establish precise estimates under a wider class of norms including in particular the Besov norms.
Similar content being viewed by others
References
Ciesielski, Z., Kerkyacharian, G., and Roynette, B. (1993). Quelques espaces fonctionnels associés à des processus gaussiens.Studia Math. 107, 171–204.
Kuelbs, J., Li, W., and Shao, Q.-M. Small ball probabilities for Gaussian processes with stationary increments under Hölder norms (to appear).
Li, W., and Shao, Q.-M. (1994). Small ball estimates for Gaussian processes under Sobolev type norms (preprint).
Monrad, D., and Rootzen, H. (1993). Small values of Gaussian processes and functional laws of the iterated logarithm.Prob. Th. Rel. Fields 101, 173–192.
Pitt, L. D. (1978). Local times for Gussian vector fields.Indian Univ. J. Math. 27, 309–330.
Roynette, B. (1993). Mouvement brownien et espace de Bosov.Stoch. and Stoch. Reports 43, 221–260.
Shao, Q.-M., and Wang, D. (1994). Small ball probabilities of Gaussian fields, Research Report No. 616, Lee Kong Center for Mathematical Research.
Sidak, Z. (1967). Rectangular confidence regions for the mans of multivariate normal distributions.J. Amer. Statist. Assoc. 62, 626–633.
Stolz, W. (1993). Une méthode élémentaire pour l'éaluation de petities boules browniennes.C. R. Acad. Sci. Paris 316, 1217–1220.
Stolz, W. (1995). Mesures gaussiennes de petites boules et petites déviations. Ph.D. Thesis, University to Toulouse.
Talagrand, M. (1993). New Gaussian estimates for enlarged balls.Geometrie and Functional Analysis 3, 503–526.
Talagrand, M. (1994). The small ball problem for the Brownian sheet.Ann. Prob. 22, 1331–1354.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Stolz, W. Some small ball probabilities for Gaussian processes under nonuniform norms. J Theor Probab 9, 613–630 (1996). https://doi.org/10.1007/BF02214078
Received:
Revised:
Issue Date:
DOI: https://doi.org/10.1007/BF02214078