A Comparison of Continuity Conditions for Gaussian Processes
Marcus, M. B.
Ann. Probab., Tome 1 (1973) no. 5, p. 123-130 / Harvested from Project Euclid
Three sufficient conditions for continuity of real-valued, separable, Gaussian processes on $\mathbb{R}^1$ are compared. They are: (1) Fernique's (1964) integral condition, (2) the Kahane (1960)-Nisio (1969) condition on the spectrum of stationary processes and (3) Dudley's (1967) condition involving $\varepsilon$-entropy. Let $S_1 \equiv$ set of stationary, separable, Gaussian processes that can be proven continuous by condition $i = 1, 2, 3$. Dudley (1967) has shown that $S_1 \subseteq S_3$. It is shown here that $S_2 \subset S_1 \subset S_3$, that is, the inclusion is strict. These results extend to non-stationary processes where appropriate. The Kahane-Nisio condition is strengthened and the best possible integral condition for continuity involving the spectrum is given. A result on the $\varepsilon$-entropy of blocks in a separable Hilbert space is also of independent interest.
Publié le : 1973-02-14
Classification:  Continuity of Gaussian processes,  $\varepsilon$-entropy,  60G15,  60G17,  60G10,  46C05
@article{1176997028,
     author = {Marcus, M. B.},
     title = {A Comparison of Continuity Conditions for Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {1},
     number = {5},
     year = {1973},
     pages = { 123-130},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176997028}
}
Marcus, M. B. A Comparison of Continuity Conditions for Gaussian Processes. Ann. Probab., Tome 1 (1973) no. 5, pp.  123-130. http://gdmltest.u-ga.fr/item/1176997028/