On the asymptotic behavior of Gaussian sequences with stationary increments

DOI10.1215/KJM/1250519722MaRDI QIDQ1191306zbMATH OpenOpenAlexFDO

Authors Yong-Kab Choi, Norio Kôno

Publication date 27 September 1992

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1215/kjm/1250519722

zbMATH Keywords

increments of the partial sum sequencestationary Gaussian sequenceupper lower functionsupper upper functionsWiener processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17)

Review text

Let \(\{X_ j:j=1,2,\ldots\}\) be a stationary Gaussian sequence with \(EX_ 1=0\) and \(EX^ 2_ 1=1\). Define \(S_ n=X_ 1+\cdots+X_ n\) and \(\sigma^ 2(n)=ES^ 2_ n\). Similar to corresponding results for Wiener processes, the authors provide a number of characterizations for the upper and lower class functions of several maximum increments of the partial sum sequence \(\{S_ n:n=1,2,\ldots\}\). Appropriate regularity of \(\{\sigma^ 2(n):n=1,2,\ldots\}\) is assumed to obtain the desired results.

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