Convergence types and rates in generic Karhunen-Loève expansions with applications to sample path properties

DOI10.1007/S11118-018-9715-5zbMATH Open1480.60086arXiv1403.1040OpenAlexW2963944850MaRDI QIDQ2334556FDOQ2334556

Authors: Ingo Steinwart 

Publication date: 7 November 2019

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: We establish a Karhunen-Lo`eve expansion for generic centered, second order stochastic processes, which does not rely on topological assumptions. We further investigate in which norms the expansion converges and derive exact average rates of convergence for these norms. For Gaussian processes we additionally prove certain sharpness results in terms of the norm. Moreover, we show that the generic Karhunen-Lo`eve expansion can in some situations be used to construct reproducing kernel Hilbert spaces (RKHSs) containing the paths of a version of the process. As applications of the general theory, we compare the smoothness of the paths with the smoothness of the functions contained in the RKHS of the covariance function and discuss some small ball probabilities. Key tools for our results are a recently shown generalization of Mercer's theorem, spectral properties of the covariance integral operator, interpolation spaces of the real method, and for the smoothness results, entropy numbers of embeddings between classical function spaces.

Full work available at URL: https://arxiv.org/abs/1403.1040

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zbMATH Keywords

reproducing kernel Hilbert spacessample path propertiesKarhunen-Loève expansion

Mathematics Subject Classification ID

Random fields (60G60) General second-order stochastic processes (60G12) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Sample path properties (60G17)

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Cited In (21)

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