Continuous functions whose level sets are orthogonal to all polynomials of a given degree (Q1207366)

Let \(w(t)\) be a continuous probability density on \({\mathbb{R}}\) with finite absolute \(k\)-th moment. Let \({\mathcal P}_ k\) be the subspace of \(L_ 2({\mathbb{R}},{\mathcal B},w(t)dt)\) spanned by the polynomials of degree \(k\). We establish the existence of a continuous function \(G(t)\) for which \(1_{\{t:G(t)\leq s\}}-\int_{\{G(t)\leq s\}}w(t)dt\) is orthogonal to \({\mathcal P}_ k\) for all \(s\). We apply this result to the Gaussian density \(w(x)={1\over\sqrt{2\pi}}e^{-x^ 2/2}\). Then we can establish the existence of a long-range dependent stationary process \(Y_ j=G(X_ j)\), where \(X_ j\) is a stationary Gaussian process, such that the \((Y_ j)\) process has empirical Hermite rank at least \(k\) [see authors, Ann. Stat. 17, No. 4, 1767-1783 (1989; Zbl 0696.60032)].