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Small deviations of sums of correlated stationary Gaussian sequences

Authors :
Aurzada, Frank
Lifshits, Mikhail
Source :
Theory Probab. Appl., 2016, 61, no. 4, 540-568
Publication Year :
2016

Abstract

We consider the small deviation probabilities (SDP) for sums of stationary Gaussian sequences. For the cases of constant boundaries and boundaries tending to zero, we obtain quite general results. For the case of the boundaries tending to infinity, we focus our attention on the discrete analogs of the fractional Brownian motion (FBM). It turns out that the lower bounds for the SDP can be transferred from the well studied FBM caseto the discrete time setting under the usual assumptions that imply weak convergence while the transfer of the corresponding upper bounds necessarily requires a deeper knowledge of the spectral structure of the underlying stationary sequence.<br />Comment: 34pages

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Journal :
Theory Probab. Appl., 2016, 61, no. 4, 540-568
Publication Type :
Report
Accession number :
edsarx.1606.01072
Document Type :
Working Paper