Li, Wenbo V., Pillai, Natesh S. and Wolpert, Robert L. (2009) On the supremum of certain families of stochastic processes. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.14).

Preview

PDF WRAP_li_09-14w.pdf - Published Version - Requires a PDF viewer. Download (495Kb)

Request Changes to record.

Abstract

We consider a family of stochastic processes {X-t(epsilon), t is an element of T} on a metric space T, with a parameter epsilon down arrow 0. We study the conditions under which

lim(epsilon -> 0)(P)(sup(r is an element of T)vertical bar X-t(epsilon)vertical bar < delta) = 1

In our main result in Section 2, we find conditions in terms of the covering number N(T, d, delta) that ensure (1.1) holds. Although our technique is based on well known chaining methods, our principal result appears to be new. In Section 3 we discuss briefly the optimality of our hypotheses and compare our theorem with the Kolmogorov criterion for continuity of stochastic processes. In Section 4 we present an application of our main theorem to random fields constructed from Levy random measures.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH):	Stochastic processes
Series Name:	Working papers
Journal or Publication Title:	STATISTICS & PROBABILITY LETTERS
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
ISSN:	0167-7152
Official Date:	2009
Dates:	Date Event 2009 Published
Volume:	Vol.2009
Number:	No.14
Number of Pages:	8
Page Range:	pp. 916-921
Status:	Not Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access (Creative Commons)
Date of first compliant deposit:	1 August 2016
Date of first compliant Open Access:	1 August 2016
Funder:	National Science Foundation (U.S.) (NSF), University of Warwick. Centre for Research in Statistical Methodology
Grant number:	DMS-0805929 (NSF), DMS-0757549 (NSF), DMS-0635449 (NSF)

Data sourced from Thomson Reuters' Web of Knowledge

Request changes or add full text files to a record

Repository staff actions (login required)

View Item

Downloads