Decoupling Inequalities for Stationary Gaussian Processes
Klein, Abel ; Landau, Lawrence J. ; Shucker, David S.
Ann. Probab., Tome 10 (1982) no. 4, p. 702-708 / Harvested from Project Euclid
Let $\{X_n\}_{n \in \mathbb{Z}^d}$ be a stationary Gaussian process. It is proved that for all finite subsets $J$ of $\mathbb{Z}^d$ and complex-valued measurable functions $f_j, j \in J$, of a real variable, $|E(\prod_{j \in J}f_j(X_j))| \leq \prod_{j \in J}\|f_j(X_0)\|_p,$ where $p = \sum_{n \in \mathbb{Z}^d} \lbrack|E(X_0X_n)|/E(X^2_0)\rbrack$ is independent of $J$. A continuous version of this inequality is proved for stationary Gaussian processes $\{X_t\}_{t \in_\mathbb{R}^d}$. It is shown that for all bounded measurable subsets $\Lambda$ of $\mathbb{R}^d$ and complex-valued measurable functions $V$ of a real variable, $|E\big(\exp\big(\int_\Lambda V(X_t) d\mathbf{t}\big)\big)| \leq \|\exp(V(X_0))\|^{\|\Lambda\|}_p,$ where $|\Lambda|$ is the Lebesgue measure of $\Lambda$ and $p = \int_{\mathbb{R}^d} \lbrack|E(X_0X_t)|/E(X^2_0)\rbrack d\mathbf{t}$. Similar inequalities are proved for stationary Gaussian processes indexed by periodic quotient groups of $\mathbb{Z}^d$ and $\mathbb{R}^d$.
Publié le : 1982-08-14
Classification:  Stationary Gaussian processes,  decoupling inequalities,  60G15
@article{1176993778,
     author = {Klein, Abel and Landau, Lawrence J. and Shucker, David S.},
     title = {Decoupling Inequalities for Stationary Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 702-708},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993778}
}
Klein, Abel; Landau, Lawrence J.; Shucker, David S. Decoupling Inequalities for Stationary Gaussian Processes. Ann. Probab., Tome 10 (1982) no. 4, pp.  702-708. http://gdmltest.u-ga.fr/item/1176993778/