Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces

DOI10.1051/PS:2008026zbMATH Open1217.60029arXiv0802.3761OpenAlexW2949553072MaRDI QIDQ3085571FDOQ3085571

Authors: Harald Luschgy, Gilles Pagès, Benedikt Wilbertz 

Publication date: 31 March 2011

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: We describe quantization designs which lead to asymptotically and order optimal functional quantizers. Regular variation of the eigenvalues of the covariance operator plays a crucial role to achieve these rates. For the development of a constructive quantization scheme we rely on the knowledge of the eigenvectors of the covariance operator in order to transform the problem into a finite dimensional quantization problem of normal distributions. Furthermore we derive a high-resolution formula for the $L^2$-quantization errors of Riemann-Liouville processes.

Full work available at URL: https://arxiv.org/abs/0802.3761

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zbMATH Keywords

Gaussian processBrownian motionRiemann-Liouville processfunctional quantizationoptimal quantizerGaussian measures in Hilbert spaces

Mathematics Subject Classification ID

Gaussian processes (60G15) Distribution theory (60E99) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Cited In (17)

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• Constructive quantization: approximation by empirical measures
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• A versatile technique for the optimal approximation of random processes by functional quantization
• Sharp asymptotics of the functional quantization problem for Gaussian processes.
• A constructive sharp approach to functional quantization of stochastic processes
• Entropy-constrained functional quantization of Gaussian processes
• Constructive quadratic functional quantization and critical dimension
• Quantization with adaptation -- estimation of Gaussian linear models
• Uniform and non-uniform quantization of Gaussian processes
• A local refinement strategy for constructive quantization of scalar SDEs
• Small ball probabilities around random centers of Gaussian measures and applications to quantization
• Data-driven stochastic inversion via functional quantization
• Construction of optimal quantizers for Gaussian measures on Banach spaces
• Functional quantization of Gaussian processes
• Partial functional quantization and generalized bridges
• High-resolution product quantization for Gaussian processes under sup-norm distortion

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