Radon-Nikodym Derivatives of Gaussian Measures

DOI10.1214/aoms/1177699516zbMath0142.13901OpenAlexW2014831690MaRDI QIDQ5517310

Lawrence A. Shepp

Publication date: 1966

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177699516

zbMATH Keywords

probability theory

Related Items

Some limit results on supremum of Shepp statistics for fractional Brownian motion, Extremes of a class of nonhomogeneous Gaussian random fields, Convergence of integrals of uniform empirical and quantile processes, Equivalence of Gaussian measures for some nonstationary random fields, Hölder norm test statistics for epidemic change, The Cameron-Martin theorem for (\(p\)-)Slepian processes, Correlation functions in the Schwarzian theory, Some nonparametric methods for changepoint problems, Boundary crossing probabilities for \((q,d)\)-Slepian-processes, Mixed Gaussian processes: a filtering approach, Conditions for absolute continuity between a certain pair of probability measures, On the Use of Reproducing Kernel Hilbert Spaces in Functional Classification, Unusual view of the Schwarzian theory, On the equivalence of multiparameter Gaussian processes, Dominierberkeit gauss'scher statistischer strukturen in hillberträumen, The contiguity of probability measures and asymptotic inference in continuous time stationary diffusions and Gaussian processes with known covariance, Approximations for the boundary crossing probabilities of moving sums of normal random variables, When is a linear combination of independent fBm's equivalent to a single fBm?, Polar decomposition of the Wiener measure: Schwarzian theory versus conformal quantum mechanics, Gaussian measures on linear spaces, Local asymptotic classes for the successive primitives of Brownian motion, Equivalence of Markov Processes, On ADF goodness-of-fit tests for perturbed dynamical systems, Zero-one laws for Gaussian processes, Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion, Small deviations for two classes of Gaussian stationary processes and \(L^p\)-functionals, \(0<p\leq\infty\), Nonparametric detection for univariate and functional data, The generalized fluctuation test: A unifying view, Mixtures of higher-order fractional Brownian motions, Optimal classification of Gaussian processes in homo- and heteroscedastic settings, Estimation of the Hurst parameter from continuous noisy data, Large deviations of Shepp statistics for fractional Brownian motion, Oscillatory integrals on Hilbert spaces and Schrödinger equation with magnetic fields, Statistical consistency of the data association problem in multiple target tracking, Equivalent Gaussian measure whose R-N derivative is the exponential of a diagonal form, Bayesian regression under combinations of constraints, Boundary value processes: Estimation and identification, On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes, A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions, Path properties of the primitives of a Brownian motion, Extra randomness in certain annuity models, Sequential testing of hypotheses about drift for Gaussian diffusions, Extremes of Shepp statistics for fractional Brownian motion, The distribution of a functional of the Wiener process and its application to the Brownian sheet, Locally Adaptive Bayes Nonparametric Regression via Nested Gaussian Processes, Equivalence problems for Gaussian multiple Markov processes and their canonical representations, Lebesgue decomposition of probability measures: applications to equivalence, singularity and Kriging, Equivalence of Volterra processes: Degenerate case, Some remarks on the equivalence of Gaussian processes, A Note on Uniform Convergence of Stochastic Processes, Convex measures on locally convex spaces, On the divergence of certain integrals of the Wiener process, Sequential generalized transforms on function space, Smoothing spline based tests for nonlinearity in a partially linear model, Linear innovation theorems, Optimal sampling of independent increment processes, Limit laws on extremes of nonhomogeneous Gaussian random fields, A smoothing spline based test of model adequacy in polynomial regression, Linear Transformations of Wiener Integrals, On the accuracy of Kingman's heavy traffic approximation in the theory of queues, Regularized divergences between covariance operators and Gaussian measures on Hilbert spaces, Innovative processes and the factorization problem, Patterns in Random Walks and Brownian Motion, A property of random processes with unit multiplicity, On a Solvable Diffusion with Time Dependent “Killing”, Upper tail probabilities of integrated Brownian motions, Unnamed Item, Comments on: Dynamic relations for sparsely sampled Gaussian processes, Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \), Gaussian measures on a Banach space, Equivalence and Radon-Nikodym derivatives of Gaussian measures, Nonstationary generalized Duru-Kleinert transformation of path integrals for systems of differential equations in one-dimensional space, On the representation of nonlinear systems with gaussian inputst^†, How can we describe density evolution under delayed dynamics?, Canonical Representation for Gaussian Processes, Gaussian measures on L\(_p\) spaces, \(1\leq p \leq \infty\), Linear estimators and measurable linear transformations on a Hilbert space, Transformations of the Brownian motion on a Riemannian symmetric space, On random processes linearly equivalent to white noise, On nonlinear transformations of Gaussian measures, A Note on Paley-Wiener-Zygmund Stochastic Integrals, Equivalence of Volterra processes., First passage time for some stationary processes, Some \(\liminf\) results on increments of the primitives of Brownian motion, A decomposition of Bessel Bridges, Statistical analysis on high-dimensional spheres and shape spaces, On the equivalence of the measures induced by banach valued gaussian autoregressive processes, Schwarzian functional integrals calculus, On the distribution of functionals of stationary Gaussian processes