Can any multivariate Gaussian vector be interpreted as a sample from a stationary random process?

Perrin, Olivier ; Schlather, Martin

Document Type: Article
Year of publication: 2007
The title of a journal, publication series: Statistics & Probability Letters
Volume: 77
Issue number: 9
Page range: 881-884
Place of publication: Amsterdam
Publishing house: North-Holland Publ.
ISSN: 0167-7152
Publication language: English
Institution: School of Business Informatics and Mathematics > Mathematische Statistik (Schlather 2012-)
Subject: 510 Mathematics
Keywords (English): Gram matrix, Positive definite function, Positive semi-definite matrix, Stationarity on graphs
Abstract: We show that a Gaussian random vector can always be interpreted as a sample from a stationary random function on a graph in , d[greater-or-equal, slanted]2, provided that the expectations are the same for all components and the covariance matrix has identical components on the diagonal.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

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