A connection between Gaussian processes and Markov processes.
Eisenbaum, Nathalie (2005)
Electronic Journal of Probability [electronic only]
Similarity:
Displaying similar documents to “A characterization of Gaussian processes that are Markovian”
A connection between Gaussian processes and Markov processes.
On small deviations of Gaussian processes using majorizing measures
Michel J. G. Weber (2012)
Colloquium Mathematicae
Similarity:
We give two examples of periodic Gaussian processes, having entropy numbers of exactly the same order but radically different small deviations. Our construction is based on Knopp's classical result yielding existence of continuous nowhere differentiable functions, and more precisely on Loud's functions. We also obtain a general lower bound for small deviations using the majorizing measure method. We show by examples that our bound is sharp. We also apply it to Gaussian independent sequences...
The Gaussian zoo.
Renze, John, Wagon, Stan, Wick, Brian (2001)
Experimental Mathematics
Similarity:
Spectral Multiplicity of Certain Gaussian Processes
Slobodanka S. Mitrović (2005)
Matematički Vesnik
Similarity:
On the correct discrimination of Gaussian hypotheses. II.
Rovskiĭ, V.A. (2004)
Zapiski Nauchnykh Seminarov POMI
Similarity:
Explicit Karhunen-Loève expansions related to the Green function of the Laplacian
J.-R. Pycke (2006)
Banach Center Publications
Similarity:
Karhunen-Loève expansions of Gaussian processes have numerous applications in Probability and Statistics. Unfortunately the set of Gaussian processes with explicitly known spectrum and eigenfunctions is narrow. An interpretation of three historical examples enables us to understand the key role of the Laplacian. This allows us to extend the set of Gaussian processes for which a very explicit Karhunen-Loève expansion can be derived.
Wavelet estimation of the long memory parameter for Hermite polynomial of gaussian processes
M. Clausel, F. Roueff, M. S. Taqqu, C. Tudor (2014)
ESAIM: Probability and Statistics
Similarity:
We consider stationary processes with long memory which are non-Gaussian and represented as Hermite polynomials of a Gaussian process. We focus on the corresponding wavelet coefficients and study the asymptotic behavior of the sum of their squares since this sum is often used for estimating the long–memory parameter. We show that the limit is not Gaussian but can be expressed using the non-Gaussian Rosenblatt process defined as a Wiener–Itô integral of order 2. This happens even if the...
Control of a Gaussian process by rarefying its innovation process.
Ivković, Z., Peruničić, P. (1990)
Publications de l'Institut Mathématique. Nouvelle Série
Similarity:
Spectral type of a polynomial of stationary Gaussian process
B. Lučić (1986)
Matematički Vesnik
Similarity:
SURE shrinkage of gaussian paths and signal identification
Nicolas Privault, Anthony Réveillac (2011)
ESAIM: Probability and Statistics
Similarity:
Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes, based on their local and occupation times. By almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbed by a continuous-time Gaussian noise.
Generating normal numbers over Gaussian integers
Manfred G. Madritsch (2008)
Acta Arithmetica
Similarity:
A remark on the equivalence of Gaussian processes.
Van Zanten, Harry (2008)
Electronic Communications in Probability [electronic only]
Similarity:
Small tails for the supremum of a gaussian process
Michel Talagrand (1988)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
On the tails of the distribution of the maximum of a smooth stationary Gaussian process
Jean-Marc Azaïs, Jean-Marc Bardet, Mario Wschebor (2010)
ESAIM: Probability and Statistics
Similarity:
We study the tails of the distribution of the maximum of a stationary Gaussian process on a bounded interval of the real line. Under regularity conditions including the existence of the spectral moment of order , we give an additional term for this asymptotics. This widens the application of an expansion given originally by Piterbarg [CITE] for a sufficiently small interval.