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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive
Teor. Veroyatnost. i Primenen., 2020 Volume 65, Issue 3, Pages 602–616 (Mi tvp5251)
On the sub-Gaussianity of the $r$-correlograms

R. Giulianoa, M. Ordóñez Cabrerab, A. Volodinc

a Dipartimento di Matematica, Università di Pisa, Italy
b Departamento Análisis Matemático, Universidad de Sevilla, Spain
c Department of Mathematics and Statistics, University of Regina, Canada

Abstract: In this article, we show that the centered relay correlation function is a sub-Gaussian random variable. This is done by a careful analysis of its Laplace transform and by estimating the sub-Gaussian standard of the $r$-correlograms.

Keywords: relay correlogram function, sub-Gaussian random variables, sub-Gaussian standard, Laplace transform, stationary Gaussian process.

Received: 26.09.2018
Revised: 23.02.2020
Accepted: 27.02.2020

DOI: 10.4213/tvp5251


 English version: Theory of Probability and its Applications, 2020, 65:3, 470–481

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© Steklov Math. Inst. of RAS, 2024