Decoupling Inequalities and Decoupling Coefficients of Gaussian Processes

Michel J. G. Weber ()
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Michel J. G. Weber: IRMA, UMR 7501

Sankhya A: The Indian Journal of Statistics, 2024, vol. 86, issue 2, No 1, 698 pages

Abstract: Abstract We use Brascamp-Lieb’s inequality to obtain new decoupling inequalities for general Gaussian vectors, and in particular for finite stationary Gaussian processes. In the second case, we provide an application using a version by Bump and Diaconis of the strong Szegö limit theorem. We obtain sharp estimates on the decoupling coefficient of remarkable classes of Gaussian processes.

Keywords: Gaussian process; Stationarity; Decoupling coefficient; Toeplitz forms; Eigenvalues; Strong Szegö limit theorem; Primary 60G15; 60G17; Secondary 60G10; 60G07 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s13171-024-00347-9

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