High-resolution product quantization for Gaussian processes under sup-norm distortion

DOI10.3150/07-BEJ6025zbMATH Open1131.60029arXivmath/0511208MaRDI QIDQ2469646FDOQ2469646

Authors: Harald Luschgy, Gilles Pagès 

Publication date: 6 February 2008

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We derive high-resolution upper bounds for optimal product quantization of pathwise contionuous Gaussian processes respective to the supremum norm on [0,T]^d. Moreover, we describe a product quantization design which attains this bound. This is achieved under very general assumptions on random series expansions of the process. It turns out that product quantization is asymptotically only slightly worse than optimal functional quantization. The results are applied e.g. to fractional Brownian sheets and the Ornstein-Uhlenbeck process.

Full work available at URL: https://arxiv.org/abs/math/0511208

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zbMATH Keywords

Gaussian processseries expansionhigh-resolution quantizationproduct quantization

Mathematics Subject Classification ID

Gaussian processes (60G15) Source coding (94A29)

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