A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables

DOI10.1016/J.JFA.2008.07.021zbMATH Open1155.60015OpenAlexW1974492389MaRDI QIDQ999848FDOQ999848

Authors: P. Deheuvels, Guennadi V. Martynov 

Publication date: 10 February 2009

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfa.2008.07.021

Recommendations

• scientific article; zbMATH DE number 4064182
• scientific article
• scientific article; zbMATH DE number 4107856
• scientific article; zbMATH DE number 1254402
• Decomposition and limit theorems for a class of self-similar Gaussian processes
• scientific article; zbMATH DE number 3862148
• Karhunen-Loève decomposition of random fields based on a hierarchical matrix approach
• Non-parametric estimation of the long-range dependence exponent for Gaussian processes
• The Lamperti transforms of self-similar Gaussian processes and their exponentials

zbMATH Keywords

Gaussian processesreliabilityempirical processesextreme valuesJacobi polynomialsnonparametric testsorthogonal polynomialsFredholm integral equationsweak lawslifetime analysistests of independenceKarhunen-Loève expansionsCramér-von Mises-type tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Gaussian processes (60G15) Statistics of extreme values; tail inference (62G32)

Cites Work

• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Statistics of Multivariate Extremes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Extremes and related properties of random sequences and processes
• Title not available (Why is that?)
• Computing the distribution of quadratic forms in normal variables
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Bivariate extreme statistics. I
• Title not available (Why is that?)
• Bivariate Exponential Distributions
• An asymptotic decomposition for multivariate distribution-free tests of independence
• Title not available (Why is that?)
• Title not available (Why is that?)
• Goodness-of-fit tests on a circle
• Title not available (Why is that?)
• Table for Estimating the Goodness of Fit of Empirical Distributions
• An Explicit Representation of a Stationary Gaussian Process
• A Bivariate Extension of the Exponential Distribution
• On some generalized farlie-gumbel-morgenstern distributions-II regression, correlation and further generalizations
• Title not available (Why is that?)
• A Multivariate Exponential Distribution
• Title not available (Why is that?)
• A Test of Goodness of Fit
• The Kolmogorov-Smirnov, Cramer-von Mises Tests
• Title not available (Why is that?)
• Title not available (Why is that?)
• Characterization of the law of the iterated logarithm in Banach spaces
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Cramer-Smirnov Test in the Parametric Case
• Title not available (Why is that?)
• Strong approximations of bivariate uniform empirical processes
• Computation of Distribution Functions of Quadratic Forms of Normally Distributed Random Variables
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• A remark on the approximation of the sample DF in the multidimensional case
• Limit theory for multivariate sample extremes
• A continuous multivariate exponential distribution
• Title not available (Why is that?)
• Title not available (Why is that?)
• Domains of attraction of multivariate extreme value distributions
• Estimating a multidimensional extreme-value distribution
• The Deferred Approach to the Limit for Eigenvalues of Integral Equations
• Strong approximations of the Hoeffding, Blum, Kiefer, Rosenblatt multivariate empirical process
• Distribution of Quadratic Forms and Some Applications
• Statistical tests based on empirical processes and related questions
• A strong convergence theorem for Banach space valued random variables
• Title not available (Why is that?)
• Estimating the Parameters of a Multivariate Exponential Distribution
• Another test for the uniformity of a circular distribution
• Multivariate exponential distributions based on hierarchical successive damage
• Computation of Limit Distributions of Statistics for Normality Tests of Type $\omega ^2 $
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (11)

• Extreme-strike asymptotics for general Gaussian stochastic volatility models
• Convergence types and rates in generic Karhunen-Loève expansions with applications to sample path properties
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• Multivariate extensions of the Anderson--Darling process.
• The shifted proper orthogonal decomposition: a mode decomposition for multiple transport phenomena
• On three families of Karhunen-Loève expansions associated with classical orthogonal polynomials
• A note on Karhunen-Loève expansions for the demeaned stationary Ornstein-Uhlenbeck process
• On the eigenproblem for Gaussian bridges
• Small-time asymptotics for Gaussian self-similar stochastic volatility models
• Partial functional quantization and generalized bridges
• A greedy non-intrusive reduced order model for shallow water equations

This page was built for publication: A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q999848)