Extrema of some Gaussian processes with large trends and density estimation in L_-norm

DOI10.1007/BF01208254MaRDI QIDQ1120930zbMATH OpenOpenAlexFDO

Authors V. D. Konakov

Publication date 1990

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01208254

zbMATH Keywords

nonparametric density estimationoptimal rates of convergence

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)

Review text

Let \(\{\mu_ n(t)\), \(t\in [0,T_ n]\}\) be a sequence of trends and \(X_ n-\mu_ n(t)\) a stationary Gaussian process having mean zero. This paper establishes the exact asymptotic behaviour for the probabilities \[ \Pr (\max_{[0,T_ n]}| X_ n(t)| \leq u_ n),\quad \lim_{n\to \infty}T_ n=+\infty, \] when the \(\{\mu_ n(t)\}\) are not asymptotically negligible and essentially contribute to the approximating distribution. The results are used to study the optimal rates of convergence for nonparametric density estimation when the closeness is measured in \(L_{\infty}\) norm.

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Cites work

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Cited in

(5)

• Extremes of vector-valued Gaussian processes with trend
• High level excursions of Gaussian fields and the weakly optimal choice of the smoothing parameter. I
• Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates
• Rate of Convergence of Distributions of Maximal Deviations of Gaussian Processes and Empirical Density Functions. II
• Extremes of L^p-norm of vector-valued Gaussian processes with trend

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