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The canonical distance is the L2 norm of an increment of a Gaussian process. It is a pseudometric, since distinct parameters may represent equal random variables almost surely. Its metric covering number appears in the Dudley entropy integral. For standard fractional Brownian motion, $d(s,t)=|s-t{|}^H$; a normalization with twice the covariance function multiplies this distance by $\sqrt{2}$.

A multiscale method for bounding the supremum of a stochastic process. Approximate each index by points ${\pi }_k(t)$ in successively finer metric nets, expand its difference from an anchor as a telescoping sum, and bound the largest increment at each scale. For a finite index set the finest net can be the entire set, making this decomposition exact. If $E_k$ is the set of approximation edges, then pointwise ${\sup }_t(X_t-X_{t_0})\le {\sum }_k{\max }_{(u,v)\in E_k}(X_u-X_v)$. Finite maxima controlled by moment-generating functions turn the sizes of the nets into metric entropy sums and integrals. The Dudley entropy integral and dyadic increment chaining are related instances.

Let $(X_t{)}_{t\in T}$ be a centered Gaussian process with a separable version: its relevant suprema are captured by a countable dense index subset. Give $T$ the canonical pseudometric of a Gaussian process $d(s,t)=\Vert X_s-X_t{\Vert }_2$, and assume it is totally bounded. With metric covering number $N(\epsilon ,T,d)$ and diameter $D$, the Dudley entropy integral boundsfor a universal constant $C$. Finiteness of the integral gives a finite expected supremum. For an absolute supremum, include an anchor: ${\sup }_t|X_t|\le |X_{t_0}|+{\sup }_t|X_t-X_{t_0}|$. The anchor term cannot generally be omitted.

The proof builds successively finer nets. Write each increment as a telescoping sum between neighboring net scales, bound each finite Gaussian maximum by its scale times the square root of the logarithmic net size, and sum over scales. This becomes the displayed entropy integral.^[ref]

The version assumption is substantive. If $U$ is uniform on $[0,1]$ and $X_t=1_{\{U=t\}}$, every finite vector is zero almost surely and is therefore a degenerate Gaussian vector; the canonical pseudometric is identically zero. Yet ${\sup }_t{X}_t=1$ for every outcome. Its all-zero separable modification has supremum zero. Finite-dimensional laws alone do not control the supremum of an arbitrary uncountable version.

A fractional Brownian motion with Hurst exponent $H\in (0,1)$ is a centered Gaussian process with the displayed standard covariance function and a continuous modification. Its increment variance is $|s-t{|}^{2H}$. Some sources omit the factor $1/2$, multiplying the process by $\sqrt{2}$; the corresponding increment variance is then $2|s-t{|}^{2H}$. Its canonical pseudometric of a Gaussian process is proportional to $|s-t{|}^H$, which gives finite expected value of its absolute supremum on compact intervals through the Dudley entropy integral.

For a metric space or pseudometric space $(T,d)$, this is the minimum number of balls of radius $\epsilon >0$, with centers in $T$, needed to cover $T$. The displayed grid bound uses closed balls. For open balls, replacing the radius by a fixed constant factor gives the same entropy estimates. For $T=[0,1]$ and $d(s,t)=c|s-t{|}^H$, a uniform grid gives $N(\epsilon ,T,d)\le 1+\lceil (c/\epsilon {)}^{1/H}\rceil$. These polynomial growth bounds make the Dudley entropy integral finite.

The equal-variance form of Slepian's lemma is the following. If $U,V$ are centered vectors with multivariate normal distributions, $\mathbb{E}{U}_i^2=\mathbb{E}{V}_i^2$ for every $i$, and $\mathbb{E}{U}_i{U}_j\ge \mathbb{E}{V}_i{V}_j$ whenever $i\ne j$, thenfor every threshold vector $(u_i)$. In particular $\mathbb{P}({\max }_i{U}_i\le u)\ge \mathbb{P}({\max }_i{V}_i\le u)$. No nonsingularity of the covariance matrices is required.

Here the pointwise variances $2t^{2H}$ and $2t^{2H^{\prime }}$ differ. To make the comparison rigorous, use the increment form, namely the Sudakov-Fernique inequality: if centered multivariate normal distributions satisfy $\mathbb{E}(U_i-U_j{)}^2\le \mathbb{E}(V_i-V_j{)}^2$ for every pair, then $\mathbb{E}{\max }_i{U}_i\le \mathbb{E}{\max }_i{V}_i$. Unlike the preceding form of Slepian's lemma, this statement has no equal-pointwise-variance hypothesis.

For completeness, the increment form follows by Gaussian integration by parts. Make $U,V$ independent, define $Z_r=\sqrt{1-r}U+\sqrt{r}V$ for $0<r<1$, and letThe $p_i$ are softmax function weights, with $p_i\ge 0$ and ${\sum }_i{p}_i=1$. Direct differentiation gives ${\partial }_i{F}_{\tau }=p_i$ and ${\partial }_{ij}{F}_{\tau }=\tau (p_i{1}_{i=j}-p_i{p}_j)$. The Gaussian integration by parts identity therefore yieldsThe last summands are nonnegative because $D_{ii}+D_{jj}-2D_{ij}=\mathbb{E}(V_i-V_j{)}^2-\mathbb{E}(U_i-U_j{)}^2$. Sinceintegration in $r$ and the limit $\tau \to \infty$ prove the Sudakov-Fernique inequality. All derivatives needed here are bounded for a fixed $\tau$. Singular covariance matrices can be handled by adding small independent centered normal noise with the same variance to both vectors, proving the identity for the nonsingular vectors, and letting the noise variance decrease to zero.

Use the printed normalization of fractional Brownian motion, which omits the conventional factor $1/2$. Its increment variance isFor $s,t\in [0,1]$ and $H>H^{\prime }$, $|t-s{|}^{2H}\le |t-s{|}^{2H^{\prime }}$. Enumerate $T$ by increasing finite subsets $T_n$ whose union is $T$, with $0\in T_n$. The Sudakov-Fernique inequality givesBoth Gaussian processes vanish at zero almost surely. Thus these maxima are nonnegative and increase with $n$; monotone convergence theorem givesTheir continuous modifications agree with the original Gaussian processes simultaneously on the countable set $T$, after discarding a single null event. Continuity and density of the rational parameters make each rational supremum equal to the supremum over $[0,1]$ for these modifications.

The expected suprema are finite. Indeed, the canonical distance of $Y_{H^{\prime }}$ is $d(s,t)=\sqrt{2}|t-s{|}^{H^{\prime }}$. A Euclidean grid supplies a closed-ball metric covering number bound $N(\epsilon )\le 1+\lceil (\sqrt{2}/\epsilon {)}^{1/H^{\prime }}\rceil$ for $0<\epsilon \le \sqrt{2}$. The Dudley entropy integral bound for an anchored centered separable Gaussian process isThe integral is finite since its integrand grows at most like a constant times $\sqrt{1+\log (1/\epsilon )}$ near zero. The same argument applies to $X_H$.

For any real path vanishing at zero,A centered Gaussian process has the same probability law as its negative. Combining this symmetry with the increment comparison gives the stronger boundIn particular the requested comparison isThe common normalization factor $\sqrt{2}$ affects both sides equally. The comparison is valid for every $0<H^{\prime }<H<1$, including the equality cases $s=t$ or $|s-t|=1$ in the increment bounds.

Because white-noise observations are not themselves in ${\ell }^2$, define the least-squares estimator as a minimizer of the Gaussian least-squares contrast, equivalently a maximizer over $\theta \in \Theta$ ofwhere $W$ is the isonormal Gaussian process on ${\ell }^2$. The entropy assumption makes $W$ sample-continuous on compact $\Theta$, so a maximizer exists.

Put $\Delta =\hat{\theta }-{\theta }_0$. Comparison with ${\theta }_0$ gives the basic inequalityForthe entropy assumption and the Dudley entropy integral giveThe Borell-TIS inequality further gives

Set $r_n=c{n}^{-4/9}$. This is the balanceOn the shell $2^j{r}_n\le \Vert \theta -{\theta }_0{\Vert }_2<2^{j+1}{r}_n$, the basic inequality would requireFor $c$ sufficiently large, the expectation bound is at most half this threshold for every $j$. Borell concentration then bounds the shell probability bySumming the geometric sequence of shell bounds gives a quantity tending to zero, uniformly in ${\theta }_0\in \Theta$. Therefore