Small deviation probability via chaining

DOI10.1016/J.SPA.2008.01.005MaRDI QIDQ2518620zbMATH OpenOpenAlexFDO

Authors Frank Aurzada, M. A. Lifshits

Publication date 16 January 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.2720

zbMATH Keywords

chainingGaussian processeslower tail probabilitymetric entropysmall deviationstable processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stable stochastic processes (60G52)

Abstract: We obtain several extensions of Talagrand's lower bound for the small deviation probability using metric entropy. For Gaussian processes, our investigations are focused on processes with sub-polynomial and, respectively, exponential behaviour of covering numbers. The corresponding results are also proved for non-Gaussian symmetric stable processes, both for the cases of critically small and critically large entropy. The results extensively use the classical chaining technique; at the same time they are meant to explore the limits of this method.

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Cited in

(8)

• Small deviations for stable processes via compactness properties of the parameter set
• On small deviations of stationary Gaussian processes and related analytic inequalities
• Kuelbs-Li inequalities and metric entropy of convex hulls
• Small deviations of sums of correlated stationary Gaussian sequences
• Extending the scope of the small-ball method
• Bounds for entropy numbers for some critical operators
• Optimality of CKP-inequality in the critical case
• Small deviations of stable processes and entropy of the associated random operators

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