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.
Remark. Sometimes, a Gaussian process is known as a Gaussian random field if is a subset, usually an embedded manifold, of , with .
|Date of creation||2013-03-22 15:22:48|
|Last modified on||2013-03-22 15:22:48|
|Last modified by||CWoo (3771)|
|Synonym||Gaussian random field|