Reference : Necessary and sufficient conditions for Hölder continuity of Gaussian processes
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
Necessary and sufficient conditions for Hölder continuity of Gaussian processes
Azmoodeh, Ehsan [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >]
Sottinen, Tommi []
Viitasaari, Lauri []
Yazigi, Adil []
Statistics & Probability Letters
Elsevier Science
Yes (verified by ORBilu)
The Netherlands
[en] Gaussian processes ; Hölder continuity ; Kolmogorov–Čentsov condition ; Self-similar processes
[en] 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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