On convex hull of Gaussian samples

Abstract: Let

X_{i} = X_{i} (t), t i n T

be i.i.d. copies of a centered Gaussian process

X = X (t), t i n T

with values in

m a t h b b R^{d}

defined on a separable metric space

T .

It is supposed that

X

is bounded. We consider the asymptotic behaviour of convex hulls

W_n = conv {X_1(t), X_n(t), t in T}

and show that with probability 1

lim_{n o infty} frac{1}{sqrt{2ln n}} W_n = W

(in the sense of Hausdorff distance), where the limit shape

W

is defined by the covariance structure of

X

:

W = c o n v K_{t}, t i n T, K_{t}

being the concentration ellipsoid of

X (t) .

The asymptotic behavior of the mathematical expectations

E f (W_{n})

, where

f

is an homogeneous functional is also studied.

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