1 research outputs found
Harmonic analysis meets stationarity: A general framework for series expansions of special Gaussian processes
In this paper, we present a new approach to derive series expansions for some
Gaussian processes based on harmonic analysis of their covariance function. In
particular, a new simple rate-optimal series expansion is derived for
fractional Brownian motion. The convergence of the latter series holds in mean
square and uniformly almost surely, with a rate-optimal decay of the rest of
the series. We also develop a general framework of convergent series expansion
for certain classes of Gaussian processes. Finally, an application to
functional quantization is described