Besov-Orlicz moduli of Brownian motion and polygonal partial sum processes

Abstract

The sample paths of Brownian motion are known to admit the exact Besov-type smoothness exponent 1/2 when measured in the sub-Gaussian Orlicz norm. We extend these regularity results by deriving the exact limit of the sub-Gaussian Orlicz modulus for Brownian motion in Banach spaces, and we provide a rate of convergence towards this limiting value. The central technique is a new chaining bound for the Orlicz modulus of a stochastic process. The latter also applies to polyogonal partial sum processes of functional random variables and allows us to strengthen Donsker's invariance principle to all function spaces on the Besov-Orlicz scale up to the exact modulus with exponent 1/2. For the critical case, we establish the thresholded weak convergence of the Besov-Orlicz seminorm of the partial sum process. The analytical results find application in a nonparametric statistical testing problem, where Besov-Orlicz statistics are shown to detect a broader range of alternatives compared to Hölderian multiscale statistics.