Functional quantization and small ball probabilities for Gaussian processes (Q1426862): Difference between revisions
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Latest revision as of 10:58, 30 July 2024
scientific article
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English | Functional quantization and small ball probabilities for Gaussian processes |
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Functional quantization and small ball probabilities for Gaussian processes (English)
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15 March 2004
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Quantization consists in studying the \(L^r\)-error induced by the approximation of a random vector \(X\) by a vector (quantized version) taking a finite number \(n\) of values. This paper investigates this problem for Gaussian random vectors in an infinite-dimensional Banach space and in particular, for Gaussian processes. A precise link proved by Fehringer and Dereich et al. relates lower and upper bounds for small ball probabilities with upper and lower bounds for the quantization error, respectively. The paper establishes a complete relationship by showing that the same holds for the direction from the quantization error to small ball probabilities. This allows us to compute the exact rate of convergence to zero of the minimal \(L^r\)-quantization error from logarithmic small ball asymptotics and vice versa.
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optimal quantizer
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asymptotic quantization error
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small ball probability
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Kolmogorov entropy
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Gaussian process
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