Expansions for Gaussian Processes and Parseval Frames
Harald Luschgy, University of Trier
Gilles Pagès, Université Paris 6
Abstract
We derive a precise link between series expansions of Gaussian random vectors in a Banach space and Parseval frames in their reproducing kernel Hilbert space. The results are applied to pathwise continuous Gaussian processes and a new optimal expansion for fractional Ornstein-Uhlenbeck processes is derived.
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