Multivariate reciprocal stationary Gaussian processes

DOI10.1016/0047-259X(87)90177-1zbMath0635.60040OpenAlexW1994969212MaRDI QIDQ1097574

J. P. Carmichael, Radu Theodorescu, Jean-Claude Massé

Publication date: 1987

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(87)90177-1

zbMATH Keywords

factorization propertymultivariate stationary Gaussian processesquasi-Markov propertyreciprocal property

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25)

Related Items (5)

Reciprocal covariance solutions of some matrix differential equations ⋮ Characterization of multivariate stationary Gaussian reciprocal diffusions ⋮ Generalized fixed-interval smoothers for discrete-time systems ⋮ Reciprocal diffusions and stochastic differential equations of second order^∗ ⋮ Gaussian reciprocal processes revisited

Cites Work

• A Markov property for Gaussian processes with a multidimensional parameter
• On Miroshin’s Second-Order Reciprocal Processes
• Second-Order Markov and Reciprocal Stationary Gaussian Processes
• Some comments on conditionally Markov and reciprocal Gaussian processes (Corresp.)
• Reciprocal Processes: The Stationary Gaussian Case
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