The Wills Functional and Gaussian Processes

نویسنده

  • Richard A. Vitale
چکیده

The Wills functional from the theory of lattice point enumeration can be adapted to produce the following exponential inequality for zero mean Gaussian processes: Ee sup t (X t ?(1=2) 2 t) e E sup t X t : An application is a new proof of the deviation inequality for the supremum of a Gaussian process above its mean: P (sup t X t ? E sup t X t a) e ?(1=2)a 2 == 2 ; where a > 0 and 2 = sup t 2 t .

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تاریخ انتشار 1996