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Path properties of a d-dimensional Gaussian process

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

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4CDNS3C-2/2/4a20c9c55eb1f30197e34547287277a5
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 68 (2004)
    Issue (Month): 4 (July)
    Pages: 383-393

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    Handle: RePEc:eee:stapro:v:68:y:2004:i:4:p:383-393

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    Related research

    Keywords: Gaussian process Path property;

    References

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    1. 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.
    2. 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.
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