Some extremal problems for Gaussian and Empirical random fields

A.I. Nazarov and Yakov Nikitin

ICER Working Papers from ICER - International Centre for Economic Research

Abstract: Some important problems of probability and statistics can be reduced to the evaluation of supremum of some homogeneous functional defined on the Strasses ball in the space of smooth functions on the square. We give the solution of this extremal problem in two particular cases: when the functional is linear and continuous and when it is a superposition of two seminorms. As a result we obtain the rough large deviation asymptotic for Lp-norms of Brownian fields on the square, some Strassen type laws of iterated logarithm for functional of Brownian fields, and describe the conditions of local Bahadur optimality for some nonparametric independence tests such as generalized rank correlation coefficients.

Keywords: Brownian field; Strassen ball; large deviations; tail asymptotics; rank correlations (search for similar items in EconPapers)
Pages: 19 pages
Date: 2000-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.bemservizi.unito.it/repec/icr/wp2000/Nikitin222000.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:icr:wpicer:22-2000

Access Statistics for this paper

More papers in ICER Working Papers from ICER - International Centre for Economic Research Corso Unione Sovietica, 218bis - 10134 Torino - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Daniele Pennesi ().