Necessary and sufficient conditions for Hölder continuity of Gaussian processes

Ehsan Azmoodeh, Tommi Sottinen (), Lauri Viitasaari and Adil Yazigi

Statistics & Probability Letters, 2014, vol. 94, issue C, 230-235

Abstract: The continuity of Gaussian processes is an extensively studied topic and it culminates in Talagrand’s notion of majorizing measures that gives complicated necessary and sufficient conditions. In this note we study the Hölder continuity of Gaussian processes. It turns out that necessary and sufficient conditions can be stated in a simple form that is a variant of the celebrated Kolmogorov–Čentsov condition.

Keywords: Gaussian processes; Hölder continuity; Kolmogorov–Čentsov condition; Self-similar processes (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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DOI: 10.1016/j.spl.2014.07.030

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