Title: Local dimension reduction using small ball probability factorization
Authors: Enea Bongiorno - Universita del Piemonte Orientale (Italy) [presenting]
Jean-Baptiste Aubin - Insa-Lyon (France)
Abstract: The small--ball probability of a Hilbert valued process is considered. Recent works on its factorization put the lights on a factor that is used to study the local dimension of a Hilbert valued process. The properties of this factor are studied, and an estimator is introduced. It turns out that such estimator is consistent and asymptotically normal distributed. Features of such estimator provide insight on the local dimensionality of the process.