Optimal eigen expansions and uniform bounds

被引:0
|
作者
Moritz Jirak
机构
[1] Humboldt-Universität zu Berlin,
来源
关键词
Eigen expansion; Short and long memory; Lag operator; Long-run covariance operator; Hilbert space; Extreme value distribution; 62H25; 60B12; 62M10; 60G70;
D O I
暂无
中图分类号
学科分类号
摘要
Let {Xk}k∈Z∈L2(T)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\{X_k\}_{k \in \mathbb {Z}} \in {\mathbb {L}}^2({\mathcal {T}})$$\end{document} be a stationary process with associated lag operators Ch\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\varvec{\mathcal {C}}}_h$$\end{document}. Uniform asymptotic expansions of the corresponding empirical eigenvalues and eigenfunctions are established under almost optimal conditions on the lag operators in terms of the eigenvalues (spectral gap). In addition, the underlying dependence assumptions are optimal in a certain sense, including both short and long memory processes. This allows us to study the relative maximum deviation of the empirical eigenvalues under very general conditions. Among other things, convergence to an extreme value distribution is shown. We also discuss how the asymptotic expansions transfer to the long-run covariance operator G\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\varvec{\mathcal {G}}}$$\end{document} in a general framework.
引用
收藏
页码:753 / 799
页数:46
相关论文
共 50 条
  • [1] Optimal eigen expansions and uniform bounds
    Jirak, Moritz
    [J]. PROBABILITY THEORY AND RELATED FIELDS, 2016, 166 (3-4) : 753 - 799
  • [2] Uniform bounds for sampling expansions
    Li, XM
    [J]. JOURNAL OF APPROXIMATION THEORY, 1998, 93 (01) : 100 - 113
  • [3] Diamagnetic expansions for perfect quantum gases II: Uniform bounds
    Briet, Philippe
    Cornean, Horia D.
    Louis, Delphine
    [J]. ASYMPTOTIC ANALYSIS, 2008, 59 (1-2) : 109 - 123
  • [4] New weak error bounds and expansions for optimal quantization
    Lemaire, Vincent
    Montes, Thibaut
    Pages, Gilles
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2020, 371 (371)
  • [5] Optimal PAC Bounds without Uniform Convergence
    Aden-Ali, Ishaq
    Cherapanamjeri, Yeshwanth
    Shetty, Abhishek
    Zhivotovskiy, Nikita
    [J]. 2023 IEEE 64TH ANNUAL SYMPOSIUM ON FOUNDATIONS OF COMPUTER SCIENCE, FOCS, 2023, : 1203 - 1223
  • [7] Non-uniform bounds for short asymptotic expansions in the CLT for balls in a Hilbert space
    Bogatyrev, S. A.
    Goetze, F.
    Ulyanov, V. V.
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2006, 97 (09) : 2041 - 2056
  • [8] Error bounds for uniform asymptotic expansions—modified bessel function of purely imaginary order
    Wei Shi
    Roderick Wong
    [J]. Chinese Annals of Mathematics, Series B, 2010, 31 : 759 - 780
  • [9] Uniform Bounds for Strongly Competing Systems: The Optimal Lipschitz Case
    Nicola Soave
    Alessandro Zilio
    [J]. Archive for Rational Mechanics and Analysis, 2015, 218 : 647 - 697
  • [10] Uniform Bounds for Strongly Competing Systems: The Optimal Lipschitz Case
    Soave, Nicola
    Zilio, Alessandro
    [J]. ARCHIVE FOR RATIONAL MECHANICS AND ANALYSIS, 2015, 218 (02) : 647 - 697