Small Deviations of Smooth Stationary Gaussian Processes

DOI10.1137/S0040585X97983912MaRDI QIDQ3556753zbMATH OpenFDO

Authors Frank Aurzada, I. A. Ibragimov, J. H. van Zanten, M. A. Lifshits

Publication date 26 April 2010

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.4238

zbMATH Keywords

Gaussian processessmall deviationsspectral densitystationary processes

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15)

Abstract: We investigate the small deviation probabilities of a class of very smooth stationary Gaussian processes playing an important role in Bayesian statistical inference. Our calculations are based on the appropriate modification of the entropy method due to Kuelbs, Li, and Linde as well as on classical results about the entropy of classes of analytic functions. They also involve Tsirelson's upper bound for small deviations and shed some light on the limits of sharpness for that estimate.

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