Quantative bounds for high-dimensional non linear functionals of gaussian processes

febrero 5 @ 5:00 pm - 6:00 pm
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Seminario de Probabilidad y Procesos Estocásticos

Resumen 

Explicit quantitative bounds in the hyper-rectangle distance dHR in terms of a Berry-Esseen type bound are derived, in the setting of highdimensional, non-linear functionals of Gaussian processes while allowing for a strong dependence structure. Under some smoothness and regularity assumptions, the rate under dHR is determined to be sub-polynomial in dimension d and, in the case where the underlying Gaussian process has short-range dependence, the dependence on the number of observations n is found to be n-1/2log(n). Many statistical applications arise, where important examples covered in the paper are; method of empirical characteristic functions, empirical moment-generating functions and a functional Brever-Major.

 

Ponente

David Kramer-Bang
UNIVERSITY OF WARWICK

Informes
seminarioproba@matem.unam.mx
https://www.matem.unam.mx/-seminarioproba/
Suscríbete a la lista de distribució: bit.ly/3JmwVMB_ProcesosEstocasticos

Detalles

Fecha:
febrero 5
Hora:
5:00 pm - 6:00 pm
Categoría del Evento:

Organizador

Departamento de Probabilidad y Estadistica

Lugar

Salon 104, Departamento de Matematicas del Instituto de Matematicas