Can any multivariate gaussian vector be interpreted as a sample from a stationary random process?

Olivier Perrin and Martin Schlather

Statistics & Probability Letters, 2007, vol. 77, issue 9, 881-884

Abstract: We show that a Gaussian random vector can always be interpreted as a sample from a stationary random function on a graph in , d[greater-or-equal, slanted]2, provided that the expectations are the same for all components and the covariance matrix has identical components on the diagonal.

Keywords: Gram; matrix; Positive; definite; function; Positive; semi-definite; matrix; Stationarity; on; graphs (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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