On convex hull of Gaussian samples

DOI10.1007/S10986-011-9117-5MaRDI QIDQ647153zbMATH OpenOpenAlexFDO

Authors Youri Davydov

Publication date 1 December 2011

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.4908

zbMATH Keywords

Gaussian processconvex hulllimit theoremGaussian sample

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Strong limit theorems (60F15)

Abstract: Let $X_i=X_i(t),tinT$ be i.i.d. copies of a centered Gaussian process $X=X(t),tinT$ with values in $mathbb{R}^d$ defined on a separable metric space $T.$ It is supposed that $X$ is bounded. We consider the asymptotic behaviour of convex hulls ${\displaystyle }$ W_n = conv {X_1(t), X_n(t), t in T}${\displaystyle }$ and show that with probability 1 ${\displaystyle }$ lim_{n o infty} frac{1}{sqrt{2ln n}} W_n = W ${\displaystyle }$ (in the sense of Hausdorff distance), where the limit shape $W$ is defined by the covariance structure of $X$: $W=conv{K}_t,tinT,K_t$ being the concentration ellipsoid of $X(t).$ The asymptotic behavior of the mathematical expectations $Ef(W_n)$, where $f$ is an homogeneous functional is also studied.

Recommendations

• Asymptotic behavior of the convex hull of a stationary Gaussian process
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• Enveloppes convexes des processus gaussiens. (Convex envelopes of Gaussian processes)

Cites work

• Characteristics of normal samples
• Limit theorems for moving averages of independent random vectors
• Régularité de processus gaussiens
• Stationary max-stable fields associated to negative definite functions
• Strictly stable distributions on convex cones

Cited in

(8)

• Expected volumes of Gaussian polytopes, external angles, and multiple order statistics
• CONVEX BODIES AND GAUSSIAN PROCESSES
• On the asymptotic form of convex hulls of Gaussian random fields
• Convex hulls of regularly varying processes
• More on the convergence of Gaussian convex hulls
• Gaussian samples, regular simplices, and exchangeability
• On the history of the St. Petersburg school of probability and statistics. III: Distributions of functionals of processes, stochastic geometry, and extrema
• Asymptotic behavior of the convex hull of a stationary Gaussian process

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