Existence of the linear prediction for Banach space valued Gaussian processes

The correspondence between Gaussian stochastic processes with values in a Banach space E and cylindrical processes which are related to them is studied. It is shown that the linear prediction of an E-valued Gaussian process is an E-valued random variable as well as the spectral measure of an E-valued Gaussian stationary process is a Gaussian random measure.

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Year of publication:	1981
Authors:	Chobanjan, S. A. ; Weron, A.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 11.1981, 1, p. 69-80
Publisher:	Elsevier
Keywords:	Gaussian process cylindrical process Gaussian covariance covariance function linear prediction Gaussian stationary process L2-stochastic process

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

Persistent link: https://www.econbiz.de/10005199377