The Wills Functional and Gaussian Processes
نویسنده
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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