On the Lower Tail of Gaussian Seminorms
Hoffmann-Jorgensen, J. ; Shepp, L. A. ; Dudley, R. M.
Ann. Probab., Tome 7 (1979) no. 6, p. 319-342 / Harvested from Project Euclid
Let $E$ be an infinite-dimensional vector space carrying a Gaussian measure $\mu$ with mean 0 and a measurable norm $q$. Let $F(t) := \mu(q \leqslant t)$. By a result of Borell, $F$ is logarithmically concave. But we show that $F'$ may have infinitely many local maxima for norms $q = \sup_n|f_n|/a_n$ where $f_n$ are independent standard normal variables. We also consider Hilbertian norms $q = (\Sigma b_nf^2_n)^{\frac{1}{2}}$ with $b_n > 0, \Sigma b_n < \infty$. Then as $t \downarrow 0$ we can have $F(t) \downarrow 0$ as rapidly as desired, or as slowly as any function which is $o(t^n)$ for all $n$. For $b_n = 1/n^2$ and in a few closely related cases, we find the exact asymptotic behavior of $F$ at 0. For more general $b_n$ we find inequalities bounding $F$ between limits which are not too far apart.
Publié le : 1979-04-14
Classification:  Gaussian processes,  seminorms,  measure of small balls,  lower tail distribution,  60G15,  60B99
@article{1176995091,
     author = {Hoffmann-Jorgensen, J. and Shepp, L. A. and Dudley, R. M.},
     title = {On the Lower Tail of Gaussian Seminorms},
     journal = {Ann. Probab.},
     volume = {7},
     number = {6},
     year = {1979},
     pages = { 319-342},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995091}
}
Hoffmann-Jorgensen, J.; Shepp, L. A.; Dudley, R. M. On the Lower Tail of Gaussian Seminorms. Ann. Probab., Tome 7 (1979) no. 6, pp.  319-342. http://gdmltest.u-ga.fr/item/1176995091/