Necessary and sufficient conditions for Hölder continuity of Gaussian processes

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.

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Year of publication:	2014
Authors:	Azmoodeh, Ehsan ; Sottinen, Tommi ; Viitasaari, Lauri ; Yazigi, Adil
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 94.2014, C, p. 230-235
Publisher:	Elsevier
Subject:	Gaussian processes \| Hölder continuity \| Kolmogorov–Čentsov condition \| Self-similar processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040150