On lag increments of a Gaussian process

MaRDI QIDQ2706516zbMATH OpenFDO

Authors Yong-Kab Choi, Jin-Hee Choi

Publication date 19 March 2001

Published in Communications of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

Gaussian processlag incrementlarge deviation probabilitieslaw of the iterated logarithmstationary incrementsWiener process

Mathematics Subject Classification ID

Strong limit theorems (60F15) Gaussian processes (60G15)

Review text

Let \(X(t)\), \(0\leq t<\infty\), be a centered Gaussian process with stationary increments \(E(X(s)- X(t))^2= C^2_0|s-t|^{2\alpha}\), \(0< \alpha< 1\), and \(X(0)= 0\). It is proved that \[ \limsup_{T\to\infty} \sup_{0< t\leq T}|X(T)- X(T- t)|/\sqrt 2 C_0t^\alpha(\log(T/t)+ \log\log t)^{1/2}= 1\quad\text{a.s.} \] Other related a.s. limits are also obtained thus giving a direct extension of \textit{G. Chen}, \textit{F. Kong} and \textit{Z. Lin}'s result [Ann. Probab. 14, 1252-1261 (1986; Zbl 0613.60027)] for lag increments of a Wiener process. The proof is based on upper bounds of large deviation probabilities on suprema of a Gaussian process.

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