Asymptotic expansions for functions of the increments of certain Gaussian processes
Probability
2009-10-15 v2
Abstract
Let be a mean zero Gaussian process with stationary increments and set . Let be a function with , where . When is regularly varying at zero and is locally integrable for some integer , and satisfies some additional regularity conditions, \bea && \int_a^bf(\frac{G(x+h)-G(x)}{\sigma (h)}) dx \label{abst}\nn &&\qquad = \sum_{j=0}^{j_0} (h/\sigma(h))^{j} {E(H_{j}(\eta) f(\eta))\over\sqrt {j!}} :(G')^{j}:(I_{[a,b]}) +o({h\over\sigma (h)})^{j_0}\nn \eea in . Here is the -th Hermite polynomial. Also is a -th order Wick power Gaussian chaos constructed from the Gaussian field , with covariance where .
Keywords
Cite
@article{arxiv.0707.3928,
title = {Asymptotic expansions for functions of the increments of certain Gaussian processes},
author = {Michael Marcus and Jay Rosen},
journal= {arXiv preprint arXiv:0707.3928},
year = {2009}
}