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Approximation in probability of tensor product-type random fields of increasing parametric dimension
A. A. Khartov St. Petersburg State University, St. Petersburg, Russia
Abstract:
Consider a sequence of Gaussian tensor product-type random fields
$X_d$,
$d\in\mathbb N$, given by
$$
X_d(t)=\sum_{k\in\widetilde{\mathbb N}^d}\prod_{l=1}^d\lambda_{k_l}^{1/2}\,\xi_k\,\prod_{l=1}^d\psi_{k_l}(t_l),\quad t\in [0,1]^d,
$$
where
$(\lambda_i)_{i\in\widetilde{\mathbb N}}$ and
$(\psi_i)_{i\in\widetilde{\mathbb N}}$ are all positive eigenvalues and eigenfunctions of covariance operator of process
$X_1$,
$(\xi_k)_{k\in\widetilde{\mathbb N}}$ are standard Gaussian random variables, and
$\widetilde{\mathbb N}$ is a subset of natural numbers. We investigate the exact asymptotic behavior of probabilistic complexity of approximation for
$X_d$ by partial sums
$X_d^{(n)}$:
$$
n_d^{pr}(\varepsilon,\delta):=\min\Bigl\{n\in\mathbb N\colon\mathbf P\left(\|X_d-X_d^{(n)}\|^2_{2,d}>\varepsilon^2 \,\mathbf E\|X_d\|^2_{2,d}\right)\leqslant\delta\Bigr\},
$$
when the parametric dimension
$d\to\infty$, the error threshold
$\varepsilon\in(0,1)$ is fixed, and the confidence level
$\delta=\delta_{d,\varepsilon}$ may go to zero.
Key words and phrases:
tensor product-type random fields, approximation in probability, average approximation, complexity of approximation.
UDC:
519.21 Received: 10.02.2013