IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v71y2005i4p295-301.html
   My bibliography  Save this article

Optimality of an explicit series expansion of the fractional Brownian sheet

Author

Listed:
  • Dzhaparidze, Kacha
  • Zanten, Harry van

Abstract

We show that an explicit series expansion of the fractional Brownian motion derived by Dzhaparidze and Van Zanten (Probab. Theory Related Fields 130 (1) (2004) 39) is rate-optimal in the sense that the expected uniform norm of the truncated series vanishes at the optimal rate as the truncation point tends to infinity. The same it true for the expansion of the general fractional Brownian sheet that is obtained by a canonical extension.

Suggested Citation

  • Dzhaparidze, Kacha & Zanten, Harry van, 2005. "Optimality of an explicit series expansion of the fractional Brownian sheet," Statistics & Probability Letters, Elsevier, vol. 71(4), pages 295-301, March.
  • Handle: RePEc:eee:stapro:v:71:y:2005:i:4:p:295-301
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(04)00312-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Antoine Ayache & Werner Linde, 2008. "Approximation of Gaussian Random Fields: General Results and Optimal Wavelet Representation of the Lévy Fractional Motion," Journal of Theoretical Probability, Springer, vol. 21(1), pages 69-96, March.
    2. Anatoliy Malyarenko, 2008. "An Optimal Series Expansion of the Multiparameter Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 21(2), pages 459-475, June.
    3. Helga Schack, 2009. "An Optimal Wavelet Series Expansion of the Riemann–Liouville Process," Journal of Theoretical Probability, Springer, vol. 22(4), pages 1030-1057, December.
    4. Istas, Jacques, 2006. "Karhunen-Loeve expansion of spherical fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1578-1583, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:71:y:2005:i:4:p:295-301. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.