Small deviations in L₂-norm for Gaussian dependent sequences

DOI10.1214/16-ECP4708MaRDI QIDQ287844zbMATH OpenOpenAlexFDO

Authors Seok Young Hong, M. A. Lifshits, A. I. Nazarov

Publication date 23 May 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.05370, https://projecteuclid.org/euclid.ecp/1463663122

zbMATH Keywords

spectral asymptoticssmall deviationsstationary sequences

Mathematics Subject Classification ID

Gaussian processes (60G15) Pseudodifferential operators (47G30)

Abstract: Let $U=(U_k{)}_{kinmathbbZ}$ be a centered Gaussian stationary sequence satisfying some minor regularity condition. We study the asymptotic behavior of its weighted $el{l}_2$-norm small deviation probabilities. It is shown that [ ln mathbb{P}left( sum_{kinmathbb{Z}} d_k^2 U_k^2 leq varepsilon^2 ight) sim - M varepsilon^{-frac{2}{2p-1}}, qquad extrm{ as } varepsilon o 0, ] whenever [ d_ksim d_{pm} |k|^{-p}quad extrm{for some } p>frac{1}{2} , , quad k o pminfty, ] using the arguments based on the spectral theory of pseudo-differential operators by M. Birman and M. Solomyak. The constant $M$ reflects the dependence structure of $U$ in a non-trivial way, and marks the difference with the well-studied case of the i.i.d. sequences.

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