Small ball problem via wavelets for Gaussian processes

被引：5

作者：

Wang, YZ ^{[1
]}

机构：

[1] UNIV MISSOURI,DEPT STAT,COLUMBIA,MO 65211

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 32卷 / 02期

关键词：

Brownian motion; fractional Brownian motion; Gaussian process; small ball problem; wavelets; wavelet-vaguelette decomposition;

D O I：

10.1016/S0167-7152(96)00065-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The recently developed theory of wavelets is used to estimate small ball probability for a class of Gaussian processes including d-dimensional fractional Brownian motion.

引用

页码：133 / 139

页数：7

共 15 条

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