High-resolution product quantization for Gaussian processes under sup-norm distortion - Université Pierre et Marie Curie Accéder directement au contenu
Article Dans Une Revue Bernoulli Année : 2007

High-resolution product quantization for Gaussian processes under sup-norm distortion

Harald Luschgy
  • Fonction : Auteur
  • PersonId : 829891

Résumé

We derive high-resolution upper bounds for optimal product quantization of pathwise contionuous Gaussian processes respective to the supremum norm on [0,T]^d. Moreover, we describe a product quantization design which attains this bound. This is achieved under very general assumptions on random series expansions of the process. It turns out that product quantization is asymptotically only slightly worse than optimal functional quantization. The results are applied e.g. to fractional Brownian sheets and the Ornstein-Uhlenbeck process.
Fichier principal
Vignette du fichier
bej6025.pdf (259.74 Ko) Télécharger le fichier
Origine : Accord explicite pour ce dépôt
Loading...

Dates et versions

hal-00013489 , version 1 (08-11-2005)
hal-00013489 , version 2 (05-09-2007)

Identifiants

Citer

Harald Luschgy, Gilles Pagès. High-resolution product quantization for Gaussian processes under sup-norm distortion. Bernoulli, 2007, 13 (3), 653-671 ; http://dx.doi.org/10.3150/07-BEJ6025. ⟨10.3150/07-BEJ6025⟩. ⟨hal-00013489v2⟩
326 Consultations
124 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More