Abstract
We introduce the fractional mixed fractional Brownian sheet and investigate the small ball behavior of its sup‐norm statistic by establishing a general result on the small ball probability of the sum of two not necessarily independent joint Gaussian random vectors. Then, we state general conditions and characterize the sufficiency part of the lower classes of some statistics of the above process by an integral test. Finally, when we consider the sup‐norm statistic, the necessity part is given by a second integral test.
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