Gaussian processes
Author(s)
Bibliographic Information
Gaussian processes
（Translations of mathematical monographs, v. 120）
American Mathematical Society, c1993
- Other Title
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ガウス過程
Gausu katei
Available at 52 libraries
Note
Includes bibliographical references and index
Description and Table of Contents
Description
Aimed at students and researchers in mathematics, communications engineering, and economics, this book describes the probabilistic structure of a Gaussian process in terms of its canonical representation (or its innovation process). Multiple Markov properties of a Gaussian process and equivalence problems of Gaussian processes are clearly presented. The authors' approach is unique, involving causality in time evolution and information-theoretic aspects. Because the book is self-contained and only requires background in the fundamentals of probability theory and measure theory, it would be suitable as a textbook at the senior undergraduate or graduate level.
Table of Contents
Foundations of probability theory and limit theorems Systems of Gaussian random variables Stationary Gaussian processes and their representations Canonical representation of Gaussian processes: General theory and multiplicity Multiple Markov Gaussian processes Equivalence of Gaussian processes Stochastic integrals and martingales.
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