Characterization of vector valued, gaussian, stationary, markov processes

Henryk Gzyl ()

Statistics & Probability Letters, 1987, vol. 6, issue 1, 17-19

Abstract: 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.

Keywords: vector; Markov; processes; characterization (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (2)

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