Characterization of vector valued, gaussian, stationary, markov processes

We extend an old result by Doob characterizing real-valued, Gaussian, stationary, Markov processes to the vector case. In this case a deterministic component appears that consists of a system of harmonic oscillators while the random part is a collection of independent oscillator processes, modulo linear changes of coordinates.

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Year of publication:	1987
Authors:	Gzyl, Henryk
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 6.1987, 1, p. 17-19
Publisher:	Elsevier
Subject:	vector Markov processes characterization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223842