Every continuous first order autoregressive stochastic process is a Gaussian process
Kybernetika (1992)
- Volume: 28, Issue: 3, page 227-233
- ISSN: 0023-5954
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topLiese, Friedrich. "Every continuous first order autoregressive stochastic process is a Gaussian process." Kybernetika 28.3 (1992): 227-233. <http://eudml.org/doc/27744>.
@article{Liese1992,
author = {Liese, Friedrich},
journal = {Kybernetika},
keywords = {independent increments; Gauss-Markov process},
language = {eng},
number = {3},
pages = {227-233},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Every continuous first order autoregressive stochastic process is a Gaussian process},
url = {http://eudml.org/doc/27744},
volume = {28},
year = {1992},
}
TY - JOUR
AU - Liese, Friedrich
TI - Every continuous first order autoregressive stochastic process is a Gaussian process
JO - Kybernetika
PY - 1992
PB - Institute of Information Theory and Automation AS CR
VL - 28
IS - 3
SP - 227
EP - 233
LA - eng
KW - independent increments; Gauss-Markov process
UR - http://eudml.org/doc/27744
ER -
References
top- W. Feller, An Introduction to Probability Theory and 1ts Application, Vol. II. J. Wiley k Sons, New York 1971. (1971) MR0270403
- J. Michálek, 1-divergence of some diffusion processes, Problems Control Inform. Theory 19 (1990), 313-338. (1990) MR1074556
- A. V. Skorokhod, Processes with Independent Increments (in Russian), Nauka, Moscow 1964. (1964)
- I. Vajda, Distances and discrimination rates for stochastic processes, Stochastic Process. Appl. 35 (1990), 47-57. (1990) Zbl0701.62084MR1062582
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