On the eigenproblem for Gaussian bridges
From MaRDI portal
Publication:2174977
DOI10.3150/19-BEJ1157zbMath1462.60044arXiv1706.09298MaRDI QIDQ2174977
Dmytro Marushkevych, Pavel Chigansky, Marina Kleptsyna
Publication date: 27 April 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.09298
Related Items
\( L_2\)-small ball asymptotics for Gaussian random functions: a survey, \(L_2\)-small ball asymptotics for a family of finite-dimensional perturbations of Gaussian functions, Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Properties and numerical evaluation of the Rosenblatt distribution
- Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
- Generalized Gaussian bridges
- A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables
- Asymptotics of Karhunen-Loève eigenvalues and tight constants for probability distributions of passive scalar transport
- Perturbation theory for linear operators.
- Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions
- Sharp asymptotics of the functional quantization problem for Gaussian processes.
- Exact \(L_2\)-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
- Mixed fractional Brownian motion: a spectral take
- Exact simulation of diffusions
- Karhunen-Loève expansion of spherical fractional Brownian motions
- Lectures on Gaussian Processes
- On A Set Of Transformations of Gaussian Random Functions
- Long-Range Dependence and Self-Similarity
- Testing Statistical Hypotheses
- Logarithmic L2-Small Ball Asymptotics for some Fractional Gaussian Processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Asymptotic Distribution of Eigenvalues of the Kernel in the Kirkwood-Riseman Integral Equation
- Fredholm Determinant of a Positive Definite Kernel of a Special Type and Its Application