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Zapiski Nauchnykh Seminarov POMI, 2013, Volume 412, Pages 252–273
(Mi znsl5647)
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This article is cited in 1 scientific paper (total in 1 paper)
Approximation in probability of tensor product-type random fields of increasing parametric dimension
A. A. Khartov St. Petersburg State University, St. Petersburg, Russia
Abstract:
Consider a sequence of Gaussian tensor product-type random fields $X_d$, $d\in\mathbb N$, given by
$$
X_d(t)=\sum_{k\in\widetilde{\mathbb N}^d}\prod_{l=1}^d\lambda_{k_l}^{1/2}\,\xi_k\,\prod_{l=1}^d\psi_{k_l}(t_l),\quad t\in [0,1]^d,
$$
where $(\lambda_i)_{i\in\widetilde{\mathbb N}}$ and $(\psi_i)_{i\in\widetilde{\mathbb N}}$ are all positive eigenvalues and eigenfunctions of covariance operator of process $X_1$, $(\xi_k)_{k\in\widetilde{\mathbb N}}$ are standard Gaussian random variables, and $\widetilde{\mathbb N}$ is a subset of natural numbers. We investigate the exact asymptotic behavior of probabilistic complexity of approximation for $X_d$ by partial sums $X_d^{(n)}$:
$$
n_d^{pr}(\varepsilon,\delta):=\min\Bigl\{n\in\mathbb N\colon\mathbf P\left(\|X_d-X_d^{(n)}\|^2_{2,d}>\varepsilon^2 \,\mathbf E\|X_d\|^2_{2,d}\right)\leqslant\delta\Bigr\},
$$
when the parametric dimension $d\to\infty$, the error threshold $\varepsilon\in(0,1)$ is fixed, and the confidence level $\delta=\delta_{d,\varepsilon}$ may go to zero.
Key words and phrases:
tensor product-type random fields, approximation in probability, average approximation, complexity of approximation.
Received: 10.02.2013
Citation:
A. A. Khartov, “Approximation in probability of tensor product-type random fields of increasing parametric dimension”, Probability and statistics. Part 19, Zap. Nauchn. Sem. POMI, 412, POMI, St. Petersburg, 2013, 252–273; J. Math. Sci. (N. Y.), 204:1 (2015), 165–179
Linking options:
https://www.mathnet.ru/eng/znsl5647 https://www.mathnet.ru/eng/znsl/v412/p252
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