Tail Behaviour for the Suprema of Gaussian Processes with Applications to Empirical Processes
Adler, Robert J. ; Samorodnitsky, Gennady
Ann. Probab., Tome 15 (1987) no. 4, p. 1339-1351 / Harvested from Project Euclid
Initially we consider "the" standard isonormal linear process $L$ on a Hilbert space $H$, and applying metric entropy methods obtain bounds for the probability that $\sup_CLx > \lambda, C \subset H$ and $\lambda$ large. Under the assumption that the entropy function of $C$ grows polynomially, we find bounds of the form $c\lambda^\alpha\exp(- \frac{1}{2}\lambda^2/\sigma^2)$, where $\sigma^2$ is the maximal variance of $L$. We use a notion of entropy finer than that usually employed and specifically suited to the nonstationary situation. As a result we obtain, in the nonstationary setting, more precise bounds than any in the literature. We then treat a number of examples in which the power $\alpha$ is identified. These include the distributions of the maxima of the rectangle indexed, pinned Brownian sheet on $\mathbb{R}^k$ for which $\alpha = 2(2k - 1)$, and the half plane indexed pinned sheet on $\mathbb{R}^2$ for which $\alpha = 2$.
Publié le : 1987-10-14
Classification:  Gaussian processes,  isonormal process,  supremum,  metric entropy,  Brownian sheet,  empirical processes,  60G15,  60G57,  60F10,  62G30
@article{1176991980,
     author = {Adler, Robert J. and Samorodnitsky, Gennady},
     title = {Tail Behaviour for the Suprema of Gaussian Processes with Applications to Empirical Processes},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1339-1351},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991980}
}
Adler, Robert J.; Samorodnitsky, Gennady. Tail Behaviour for the Suprema of Gaussian Processes with Applications to Empirical Processes. Ann. Probab., Tome 15 (1987) no. 4, pp.  1339-1351. http://gdmltest.u-ga.fr/item/1176991980/