Averaged deviations of Orlicz processes and majorizing measures (1611.06002v1)

Abstract: This paper is devoted to investigation of supremum of averaged deviations $|X(t)-f(t)-\int_{\mathbb {T}}(X(u)-f(u))\,\mathrm {d}\mu(u)/\mu(\mathbb {T})|$ of a stochastic process from Orlicz space of random variables using the method of majorizing measures. An estimate of distribution of supremum of deviations $|X(t)-f(t)|$ is derived. A special case of the $L_q$ space is considered. As an example, the obtained results are applied to stochastic processes from the $L_2$ space with known covariance functions.