Epsilon Entropy of Stochastic Processes
Posner, Edward C. ; Rodemich, Eugene R. ; Rumsey, Howard
Ann. Math. Statist., Tome 38 (1967) no. 6, p. 1000-1020 / Harvested from Project Euclid
This paper introduces the concept of epsilon-delta entropy for "probabilistic metric spaces." The concept arises in the study of efficient data transmission, in other words, in "Data Compression." In a case of particular interest, the space is the space of paths of a stochastic process, for example $L_2\lbrack 0, 1\rbrack$ under the probability distribution induced by a mean-continuous process on the unit interval. For any epsilon and delta both greater than zero, the epsilon-delta entropy of any probabilistic metric space is finite. However, when delta is zero, the resulting entropy, called simply the epsilon entropy of the space, can be infinite. We give a simple condition on the eigenvalues of a process on $L_2\lbrack 0, 1\rbrack$ such that any process satisfying that condition has finite epsilon entropy for any epsilon greater than zero. And, for any set of eigenvalues not satisfying the given condition, we produce a mean-continuous process on the unit interval having infinite epsilon entropy for every epsilon greater than zero. The condition is merely that $\sum n\sigma_n^2$ be finite, where $\sigma_1^2 \geqq \sigma_2^2 \geqq \cdots$ are the eigenvalues of the process.
Publié le : 1967-08-14
Classification: 
@article{1177698768,
     author = {Posner, Edward C. and Rodemich, Eugene R. and Rumsey, Howard},
     title = {Epsilon Entropy of Stochastic Processes},
     journal = {Ann. Math. Statist.},
     volume = {38},
     number = {6},
     year = {1967},
     pages = { 1000-1020},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177698768}
}
Posner, Edward C.; Rodemich, Eugene R.; Rumsey, Howard. Epsilon Entropy of Stochastic Processes. Ann. Math. Statist., Tome 38 (1967) no. 6, pp.  1000-1020. http://gdmltest.u-ga.fr/item/1177698768/