Log-level comparison principle for small ball probabilities

DOI10.1016/J.SPL.2008.09.021zbMATH Open1166.60310arXiv0805.1773OpenAlexW1982525920MaRDI QIDQ1004263FDOQ1004263

Publication date: 2 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We prove a new variant of comparison principle for logarithmic

L_{2}

-small ball probabilities of Gaussian processes. As an application, we obtain logarithmic small ball asymptotics for some well-known processes with smooth covariances.

Full work available at URL: https://arxiv.org/abs/0805.1773

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Mathematics Subject Classification ID

Large deviations (60F10)

Cites Work

Gaussian processes: Inequalities, small ball probabilities and applications
Regularly varying functions
Small ball probabilities for Gaussian random fields and tensor products of compact operators
On the lower tail probabilities of some random series
Comparison results for the lower tail of Gaussian seminorms
Laplace transforms via {H}adamard factorization
Asymptotic behavior of the eigenvalues of certain integral equations. II
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Exact $L^2$ small balls of Gaussian processes
Exact $L_2$-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
Title not available (Why is that?)
Exact small ball asymptotics in weighted $L_2$-norm for some Gaussian processes
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Degenerate self-similar measures, spectral asymptotics and small deviations of Gaussian processes

Cited In (11)

Spectral analysis for some multifractional Gaussian processes
$L_2$-small ball asymptotics for a family of finite-dimensional perturbations of Gaussian functions
On spectral asymptotics of the tensor product of operators with almost regular marginal asymptotics
Small ball probabilities for smooth Gaussian fields and tensor products of compact operators
Small deviations for a family of smooth Gaussian processes
$ L_2$-small ball asymptotics for Gaussian random functions: a survey
On the history of St. Petersburg school of probability and mathematical statistics. II: Random processes and dependent variables
Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
Comparison theorems for the small ball probabilities of the Green Gaussian processes in weighted $L_2$-norms
Logarithmic level comparison for small deviation probabilities
‐SMALL DEVIATIONS FOR WEIGHTED STATIONARY PROCESSES

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