$L_2$-small ball asymptotics for a family of finite-dimensional perturbations of Gaussian functions

Yu. P. Petrova

Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 30, Tome 501 (2021), pp. 236-258

Résumé

In this article we study the small ball probabilities in $L_2$-norm for a family of finite-dimensional perturbations of Gaussian functions. We define three types of perturbations: noncritical, partially critical and critical; and derive small ball asymptotics for the perturbated process in terms of the small ball asymptotics for the original process. The natural examples of such perturbations appear in statistics in the study of empirical processes with estimated parameters (the so-called Durbin's processes). We show that the Durbin's processes are critical perturbations of the Brownian bridge. Under some additional assumptions, general results can be simplified. As an example we find the exact $L_2$-small ball asymptotics for critical perturbations of the Green processes (the processes which covariance function is the Green function of the ordinary differential operator).

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