On small deviations of stationary Gaussian processes and related analytic inequalities

DOI10.1007/S13171-013-0036-XMaRDI QIDQ369385zbMATH OpenOpenAlexFDO

Authors Michel Weber

Publication date 24 September 2013

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.2786

zbMATH Keywords

eigenvaluesstationary Gaussian processesdecoupling coefficientsmall deviationsLittlewood hypothesisToeplitz formsstrong Szegő limit theoremGeršgorin's disks

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Inequalities involving eigenvalues and eigenvectors (15A42) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Limit theorems in probability theory (60F99) Matrices, determinants in number theory (11C20) Toeplitz, Cauchy, and related matrices (15B05)

Abstract: Let $$ be a Gaussian stationary sequence having a spectral function $F$ of infinite type. Then for all $n$ and $zge0$,${\displaystyle }$ PBig{sup_{j=1}^n |X_j|le z Big}le Big(int_{-z/sqrt{G(f)}}^{z/sqrt{G(f)}} e^{-x^2/2}frac{dd x}{sqrt{2pi}} Big)^n,${\displaystyle }$ where $G(f)$ is the geometric mean of the Radon Nycodim derivative of the absolutely continuous part $f$ of $F$. The proof uses properties of finite Toeplitz forms. Let $X(t),tinR$ be a sample continuous stationary Gaussian process with covariance function $g(u)$. We also show that there exists an absolute constant $K$ such that for all $T>0$, $a>0$ with $Tgee(a)$, ${\displaystyle }$PBig{sup_{0le s,tle T} |X(s)-X(t)|le aBig} le exp Big {-{KT over e(a) p(e(a))}Big} ,${\displaystyle }$ where $$, $d(b)=mi{n}_{uge1}sqrt2(1-g((ub)),uge1$, and $p(b)=1+su{m}_{j=2}^{i}nfty|2g(jb)-g((j-1)b)-g((j+1)b)|over2(1-g(b))$. The proof is based on some decoupling inequalities arising from Brascamp-Lieb inequality. Both approaches are developed and compared on examples. Several other related results are established.

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Cited in

(5)

• An application of the Gaussian correlation inequality to the small deviations for a Kolmogorov diffusion
• Decoupling inequalities and decoupling coefficients of Gaussian processes
• Small deviations in \(L_2\)-norm for Gaussian dependent sequences
• Small Deviations of Smooth Stationary Gaussian Processes
• Small deviations of sums of correlated stationary Gaussian sequences

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