Multivariate gaussian processes: definitions, examples and applications

HIGHLIGHTS

• who: Multivariate Gaussian distribution Matrix-variate and colleagues from the University of Edinburgh Business School, Edinburgh, UK have published the paper: Multivariate Gaussian processes: definitions, examples and applications, in the Journal: (JOURNAL)
• what: The authors propose a precise definition of based on measures on vector-valued function spaces and provide an existence proof. Since Brownian motion is a special case of Gaussian process with continuous sample paths, mean function u=0 and covariance function k(s, t)=min(s, t), the authors propose an example, d-variate Brownian motion, as a special case of d . . .
  

   

  

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