Tail behaviour of Gaussian processes with applications to the Brownian pillow.

DOI10.1016/S0047-259X(03)00059-9MaRDI QIDQ1426355zbMATH OpenOpenAlexFDO

Authors Alex J. Koning, Vladimir Yu. Protasov

Publication date 14 March 2004

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0047-259x(03)00059-9

zbMATH Keywords

Anderson-Darling-type testsasymptotic distribution theoryBrownian pillowCramér-von Mises type testsGaussian processesKolmogorov-type testsmultivariate constancymultivariate independencetail behaviour

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Review text

Let \(X\) be a real-valued, separable and zero mean Gaussian process indexed by a subset \(M\) of \(\mathbb R^d\) with \(d\) being greater than or equal to two. Moreover, let \(E\) be the space of real-valued functions defined on \(M\) and let \(T\) be a real-valued functional on \(E\) of the form \(T(f)=\sup_{v\in V}\sqrt{Q_{v}(f,f)}\). Here \(V\) is some index set and \(Q_{v}\) is a symmetric bounded bilinear form on \(E\) for every \(v\in V\). As the functional \(T\) is sublinear and positive homogeneous, it follows for the random variable \(S=T(X)\) that there exists a constant \(a\) such that \(\lim y^{-2} \log P(S>y)= -a/2\) for \(y\rightarrow\infty\). The authors establish methods for the computation of the constant \(a\). Moreover, they construct a random variable \(R\) on the same probability space as \(S\) and with a less intricate distribution such that \(R\leq S\) with probability one and such that \(R\) has the same tail behaviour as \(S\). Special interest is taken in the situation where the space \(M\) and the covariance function of \(X\) both have product structure. This is typical for limiting processes occurring in nonparametric testing of multivariate independency and multivariate constancy over time. An important example is where \(M\) is equal to \([0,1]^2\), and \(X\) coincides with the Wiener pillow.

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Cited in

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