Optimality of an explicit series expansion of the fractional Brownian sheet

Autor:	Dzhaparidze, Kacha, Zanten, Harry
Přispěvatelé:	Stochastics, Stochastic Dynamics and Discrete Probability
Rok vydání:	2005
Předmět:	Fractional Brownian sheet Mathematics::Probability Series expansion Rate of convergence Fractional Brownian motion
Zdroj:	Statistics and Probability Letters, 71(4), 295-301
ISSN:	0167-7152
Popis:	We show that an explicit series expansion of the fractional Brownian motion derived by Dzhaparidze and Van Zanten (Probab. Theory Related Fields 130 (1) (2004) 39) is rate-optimal in the sense that the expected uniform norm of the truncated series vanishes at the optimal rate as the truncation point tends to infinity. The same it true for the expansion of the general fractional Brownian sheet that is obtained by a canonical extension.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=narcis______::c5bb58857226088cfbc5f6d13469e233 https://ir.cwi.nl/pub/14200 Zobrazit plný text záznamu Full Text from ScienceDirect