Small deviations for stable processes via compactness properties of the parameter set

We establish a general lower bound for the small deviations of [alpha]-stable processes in terms of the metric entropy behaviour w.r.t. the Dudley metric. This generalises work by Talagrand [1993. New Gaussian estimates for enlarged balls. Geom. Funct. Anal. 3, 502-526] for Gaussian processes and yields new bounds for stable self-similar processes.

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Year of publication:	2008
Authors:	Aurzada, Frank
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 6, p. 577-581
Publisher:	Elsevier
Keywords:	Gaussian processes Linear fractional stable motion Metric entropy Self-similar processes Small deviation Stable processes

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

Persistent link: https://www.econbiz.de/10005254458