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Path properties of a d-dimensional Gaussian process

Author

Listed:
  • Lin, Zhengyan
  • Hwang, Kyo-Shin
  • Lee, Sungchul
  • Choi, Yong-Kab

Abstract

In this paper, we study path properties of a d-dimensional Gaussian process with the usual Euclidean norm, via estimating upper bounds of large deviation probabilities on the suprema of the Gaussian process.

Suggested Citation

  • Lin, Zhengyan & Hwang, Kyo-Shin & Lee, Sungchul & Choi, Yong-Kab, 2004. "Path properties of a d-dimensional Gaussian process," Statistics & Probability Letters, Elsevier, vol. 68(4), pages 383-393, July.
    • Handle: RePEc:eee:stapro:v:68:y:2004:i:4:p:383-393
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    References listed on IDEAS

    as
    1. Ortega, Joaquín, 1984. "On the size of the increments of nonstationary Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 47-56, September.
    2. Csáki, E. & Csörgo, M. & Lin, Z. Y. & Révész, P., 1991. "On infinite series of independent Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 25-44, October.
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    More about this item

    Keywords

    Gaussian process Path property;

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