The weak and strong Gaussian probabilistic realization problem

C. van Putten and J. H. van Schuppen

Journal of Multivariate Analysis, 1983, vol. 13, issue 1, 118-137

Abstract: A classification is given of all [sigma]-algebras that make two given [sigma]-algebras conditionally independent in the case that the [sigma]-algebras are generated by finite dimensional Gaussian random variables. In addition a classification is given of all Gaussian measures that have the conditional independence property and such that restricted to a subspace, they coincide with a given measure.

Keywords: Conditional; independence; Gaussian; random; variables; canonical; variable; representation; sufficient; statistics; stochastic; systems (search for similar items in EconPapers)
Date: 1983
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