The backward canonical representations and interpolations for multiple Markov Gaussian processes

Yuji Hibino

Stochastic Processes and their Applications, 1993, vol. 45, issue 1, 29-44

Abstract: The author gives relations between the forward canonical representation (in the sense of Lévy-Hida-Cramér) and the backward one for a Gaussian process. By using both representations, a concrete expression of the interpolation is obtained for a multiple Markov Gaussian process.

Date: 1993
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