Gaussian process
A stochastic process is said to be
a Gaussian process if all of the members of its f.f.d.
(family of finite dimensional distributions) are joint normal
distributions. In other words, for any positive integer ,
and any , the joint distribution
of random
variables
is jointly normal.
As an example, any Wiener process is Gaussian.
Remark. Sometimes, a Gaussian process is known as a Gaussian random field if is a subset, usually an embedded manifold, of , with .
Title | Gaussian process |
---|---|
Canonical name | GaussianProcess |
Date of creation | 2013-03-22 15:22:48 |
Last modified on | 2013-03-22 15:22:48 |
Owner | CWoo (3771) |
Last modified by | CWoo (3771) |
Numerical id | 5 |
Author | CWoo (3771) |
Entry type | Definition |
Classification | msc 60G15 |
Classification | msc 60G60 |
Synonym | Gaussian random field |
Defines | normal process |