中文

High-resolution product quantization for Gaussian processes under sup-norm distortion

概率论 2013-04-03 v2

摘要

We derive high-resolution upper bounds for optimal product quantization of pathwise contionuous Gaussian processes respective to the supremum norm on [0,T]^d. Moreover, we describe a product quantization design which attains this bound. This is achieved under very general assumptions on random series expansions of the process. It turns out that product quantization is asymptotically only slightly worse than optimal functional quantization. The results are applied e.g. to fractional Brownian sheets and the Ornstein-Uhlenbeck process.

关键词

引用

@article{arxiv.math/0511208,
  title  = {High-resolution product quantization for Gaussian processes under sup-norm distortion},
  author = {Harald Luschgy and Gilles Pagès},
  journal= {arXiv preprint arXiv:math/0511208},
  year   = {2013}
}

备注

Version publi\'ee dans la revue Bernoulli, 13(3), 653-671