Small deviations in L₂-norm for Gaussian dependent sequences

DOI10.1214/16-ECP4708zbMATH Open1336.60075arXiv1511.05370OpenAlexW2964051004MaRDI QIDQ287844FDOQ287844

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)

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.

Full work available at URL: https://arxiv.org/abs/1511.05370

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zbMATH Keywords

spectral asymptoticssmall deviationsstationary sequences

Mathematics Subject Classification ID

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

Cited In (6)

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• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• On the history of St. Petersburg school of probability and mathematical statistics. II: Random processes and dependent variables

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