Existence of the linear prediction for Banach space valued Gaussian processes

S. A. Chobanjan and Aleksander Weron

Journal of Multivariate Analysis, 1981, vol. 11, issue 1, 69-80

Abstract: 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.

Keywords: Gaussian; process; cylindrical; process; Gaussian; covariance; covariance; function; linear; prediction; Gaussian; stationary; process; L2-stochastic; process (search for similar items in EconPapers)
Date: 1981
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