Note on the variance of the sum of Gaussian functionals

Marek Beśka. "Note on the variance of the sum of Gaussian functionals." Applicationes Mathematicae 37.2 (2010): 231-236. <http://eudml.org/doc/279958>.

@article{MarekBeśka2010,
abstract = {Let $(X_i, i=1,2,...)$ be a Gaussian sequence with $X_i ∈ N(0,1)$ for each i and suppose its correlation matrix $R=(ρ_\{ij\})_\{i,j≥ 1\}$ is the matrix of some linear operator R:l₂→ l₂. Then for $f_i ∈ L²(μ)$, i=1,2,..., where μ is the standard normal distribution, we estimate the variation of the sum of the Gaussian functionals $f_i(X_i)$, i=1,2,... .},
author = {Marek Beśka},
journal = {Applicationes Mathematicae},
language = {eng},
number = {2},
pages = {231-236},
title = {Note on the variance of the sum of Gaussian functionals},
url = {http://eudml.org/doc/279958},
volume = {37},
year = {2010},
}

TY - JOUR
AU - Marek Beśka
TI - Note on the variance of the sum of Gaussian functionals
JO - Applicationes Mathematicae
PY - 2010
VL - 37
IS - 2
SP - 231
EP - 236
AB - Let $(X_i, i=1,2,...)$ be a Gaussian sequence with $X_i ∈ N(0,1)$ for each i and suppose its correlation matrix $R=(ρ_{ij})_{i,j≥ 1}$ is the matrix of some linear operator R:l₂→ l₂. Then for $f_i ∈ L²(μ)$, i=1,2,..., where μ is the standard normal distribution, we estimate the variation of the sum of the Gaussian functionals $f_i(X_i)$, i=1,2,... .
LA - eng
UR - http://eudml.org/doc/279958
ER -