Functional quantization of Gaussian processes

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Abstract

Quantization consists in studying the Lr-error induced by the approximation of a random vector X by a vector (quantized version) taking a finite number n of values. For ℝm-valued random vectors the theory and practice is quite well established and in particular, the asymptotics as n → ∞ of the resulting minimal quantization error for nonsingular distributions is well known: it behaves like c(X,r,M)n-1/m. This paper is a transposition of this problem to random vectors in an infinite dimensional Hilbert space and in particular, to stochastic processes (Xt)tε[0,1] viewed as L2([0,1], dt)-valued random vectors. For Gaussian vectors and the L2-error we present detailed results for stationary and optimal quantizers. We further establish a precise link between the rate problem and Shannon-Kolmogorov's entropy of X. This allows us to compute the exact rate of convergence to zero of the minimal L2-quantization error under rather general conditions on the eigenvalues of the covariance operator. Typical rates are O((log n)-a), a > 0. They are obtained, for instance, for the fractional Brownian motion and the fractional Ornstein-Uhlenbeck process. The exponent a is closely related with the L2-regularity of the process. © 2002 Elsevier Science (USA). All rights reserved.

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APA

Luschgy, H., & Pagès, G. (2002). Functional quantization of Gaussian processes. Journal of Functional Analysis, 196(2), 486–531. https://doi.org/10.1016/S0022-1236(02)00010-1

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