Note on the variance of the sum of Gaussian functionals
Marek Beśka (2010)
Applicationes Mathematicae
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Let be a Gaussian sequence with for each i and suppose its correlation matrix is the matrix of some linear operator R:l₂→ l₂. Then for , i=1,2,..., where μ is the standard normal distribution, we estimate the variation of the sum of the Gaussian functionals , i=1,2,... .